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This paper expands the recent empirical studies of international capital market integration in mainly three aspects. First, the study focuses on two Scandinavian markets, the Finnish and the Swedish, that are receiving more and more attention by international analysts in light of the ongoing...
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The paper re-examines the issue of the robustness of the weekday effect. Specifically, by utilizing a quantile regression approach, the homogeneity of observed day-of-the-week anomalies is monitored and tested over different parts of the conditional return distribution. The day-of-the-week...
Persistent link: https://www.econbiz.de/10009213930
In line with the integration of financial markets it is expected that anomalies and other characteristics of equity markets become more similar. This paper specifically examines how much of the asymmetry and the day-of-the-week effect is common to the European markets and how much is country...
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The market coskewness puzzle has occupied the empirical asset pricing research since the third-moment asset pricing model was introduced by Kraus and Litzenberger (1976) and Friend and Westerfield (1980). Using the Fama-French 49 US industry portfolios this paper empirically shows that the...
Persistent link: https://www.econbiz.de/10011041486
This paper revisits the day-of-the-week anomaly discussion from a portfolio aggregation point of view. Using different levels of portfolio aggregation: market, industry and company levels, it is possible to partly trace the aggregation level of the effect of the factors driving the...
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