We document significant intra-year seasonality in outliers of S&P500 daily rates of return. Controlling for outliers in dummy regressions reveals that both the January and Monday effects turn from insignificant to highly significant. Mean daily return on January doubles and becomes significantly...

We document significant intra-year and less significant intra-week seasonality in outliers of Samp;P500 daily returns. Controlling for outliers in dummy regressions reveals that 1) Monday's mean returns turn from insignificantly to significantly positive and insignificantly higher than all...

This paper examines herding, heterogeneity, and momentum trading of institutional investors in Israel across a broad variety of financial assets. While previous studies typically focus on stocks only, we examine herding patterns, heterogeneity, and momentum trading of institutional investors in...

This study proposes a more robust estimation of the implied volatility in the FX market, offers a possible explanation to the observed quot;smilequot; in implied volatilities based on a quot;clientele effectquot;, and tests the predictability of future volatilities in the FX market. We employ...

Day-of-the-week tests for the entire distribution (rather then specific moments) are employed on the Tel-Aviv Stock Exchange index using non-parametric tests. We further add to prior art by examining whether Sunday's return distribution is significantly different from the distribution of any and...

Evidence from equity markets worldwide indicates that the Day-of-the-Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair-wise weekend effects in high moments when comparing the first and last trading days of the week. The...