Disappearing anomalies: a dynamic analysis of the persistence of anomalies
This study examines several well-known stock market anomalies before and after they were published. If the anomalies are a result of data snooping or data crunching, these are expected to disappear in the data soon after they have been reported. Moreover, increased awareness of anomalies among investors will diminish possible profits as more investors will trade based on these anomalies. Employing dynamic analyses, strong evidence is found that the weekend effect, the holiday effect, the time-of-the-month effect and the January effect have disappeared after these anomalies have been published. The turn-of-the-month effect seems still present, whereas the small firm effect has recently resurrected. The timing of disappearing or reappearing anomalies typically often coincides with the timing of academic publications.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 16 (2006)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Seyed Mehdian & Mark Perry, 2002. "Anomalies in US equity markets: a re-examination of the January effect," Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 141-145.
- Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
- Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 497-513, December.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-35, July.
- Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
- Honghui Chen & Vijay Singal, 2003. "Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect," Journal of Finance, American Finance Association, vol. 58(2), pages 685-706, 04.
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
- Philip Hans Franses & Richard Paap, 2000. "Modelling day-of-the-week seasonality in the S&P 500 index," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 483-488.
- Wessel Marquering & Marno Verbeek, 2000.
"The Economic Value of Predicting Stock Index Returns and Volatility,"
Working Papers Department of Economics
ces0020, KU Leuven, Faculty of Economics and Business, Department of Economics.
- Marquering, Wessel & Verbeek, Marno, 2004. "The Economic Value of Predicting Stock Index Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 407-429, June.
- Marquering, W.A. & Verbeek, M.J.C.M., 2001. "The Economic Value of Predicting Stock Index Returns and Volatility," ERIM Report Series Research in Management ERS-2001-75-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Paul Brockman & David Michayluk, 1998. "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 205-209.
- Josef Lakonishok & Andrei Shleifer & Robert W. Vishny, 1993.
"Contrarian Investment, Extrapolation, and Risk,"
University of Chicago - George G. Stigler Center for Study of Economy and State
84, Chicago - Center for Study of Economy and State.
- Brian Lucey & Angel Pardo, 2005. "Why investors should not be cautious about the academic approach to testing for stock market anomalies," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 165-171.
- Chang, Eric C. & Michael Pinegar, J. & Ravichandran, R., 1998. "US day-of-the-week effects and asymmetric responses to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 513-534, May.
- Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
- Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
- Robert Hudson & Kevin Keasey & Kevin Littler, 2002. "Why investors should be cautious of the academic approach to testing for stock market anomalies," Applied Financial Economics, Taylor & Francis Journals, vol. 12(9), pages 681-686.
- Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 145-157, March.
- Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October.
- Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 133-169, June.
- Kunkel, Robert A. & Compton, William S. & Beyer, Scott, 2003. "The turn-of-the-month effect still lives: the international evidence," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 207-221.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:16:y:2006:i:4:p:291-302. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.