For funds with greater incentives and greater opportunities to inflate returns, we find that (i) returns during December are significantly higher than those during the rest of the year even after controlling for risk in both time-series and the cross-section; (ii) this December spike is greater...

This paper adopts a non-parametric stochastic dominance (SD) approach to examine the day-of-the-week effects in Chinese stock markets. In contrast to the extensive evidence of day-of-the-week effects disclosed by a parametric mean-variance (MV) approach, our SD tests show that the...

This study examines the effect of options trading on the January effect in the period 1996-2009. The options market offers investors an alternative trading venue that circumvents several trading limitations in the equity market and hence enables a higher level of arbitrage activities. In a...

Using data from the stock markets of Japan, the U.K, and France, this paper examines the distribution and source of value premium in average stock returns for the period 1975 through 2007. Results from this study indicate a January effect in value premium, which is valid and economically...

In this study we try to briefly revise the day of the week effect (DOW) and to examine why there are conflicting empirical results through the time. Moreover, we try to add a new-alternative view to the specific area of study, adding a further possible explanation in calendar anomalies field of...

This paper examines twenty-seven international real estate securities indices from twenty countries and regions for calendar effects. Two methodologies are employed. The first is the standard approach which detects statistically significant anomalies via linear regression of returns. The second,...