Finance theory suggests that the higher volatility typically associated with emerging stock market returns translates into higher expected returns in those markets. This study compares the risk and return profile of emerging and developed stock markets over the period from 1988 through April...

The well-documented day-of-the-week effect has shown that stock returns on some days of the week are often significantly higher than on other days. To investigate whether improvements in market efficiency may have caused this anomaly to disappear over time, this study examines the...

This paper documents a new 'time-of-the-month' pattern in the daily returns of the Standard & Poor's and the NASDAQ indices. Splitting a month into three time segments, the results show that the returns are highest during the 'first third', experience a drop during the 'second third', and are...