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Firm heterogeneity and calendar anomalies

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  • Susan Sunila Sharma

    ()

  • Paresh Kumar Narayan

    ()

Abstract

While the calendar anomalies and financial market relationship is one of the oldest relationships in financial economics, we treat this relationship differently by addressing two unknown issues: (a) do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending on the sectoral location of firms? and (b) do calendar anomalies affect firm returns and firm volatility differently depending on firm size? Unlike the assumption in this literature that firms are homogeneous, we show that they are in fact heterogeneous. Using 560 firms listed on the NYSE over the period 05 January 2000 to 31 December 2008, we find fresh results, previously undocumented in this literature. We find evidence of calendar anomalies affecting returns and return volatility of firms differently depending on their sectoral locations and size.

Suggested Citation

  • Susan Sunila Sharma & Paresh Kumar Narayan, 2011. "Firm heterogeneity and calendar anomalies," Financial Econometics Series 2011_12, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  • Handle: RePEc:dkn:ecomet:fe_2011_12
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    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/fin-econometrics/2011_12.pdf
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    References listed on IDEAS

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    1. Zeira, Joseph, 1990. "Cost uncertainty and the rate of investment," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 53-63, February.
    2. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011. "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3253-3262.
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    Cited by:

    1. Boubaker, Heni & Sghaier, Nadia, 2015. "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, vol. 50(C), pages 254-265.
    2. Iglesias, Emma M., 2015. "Value at Risk and expected shortfall of firms in the main European Union stock market indexes: A detailed analysis by economic sectors and geographical situation," Economic Modelling, Elsevier, vol. 50(C), pages 1-8.
    3. Zhang, Tai-Wei & Chueh, Horace & Hsu, Yao Hua, 2015. "Day-of-the-week trading patterns of informed and uninformed traders in Taiwan's foreign exchange market," Economic Modelling, Elsevier, vol. 47(C), pages 271-279.

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    Keywords

    Calendar Anomalies; Returns; Heterogeneous; Volatility;

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