A turn-of-the-month effect in U.S. equity returns was initially identified by Lakonishok and Smidt (1988) using the DJIA for the period 1897-1986. According to the turn-of-the-month effect, equity returns over the interval beginning the last trading day of the month and ending three days later...

The turn-of-the-month effect in U.S. equities is found to be so powerful in the 1926-2005 period that, on average, investors received no reward for bearing market risk except at turns of the month. The effect is not confined to small-capitalization or low-price stocks, to calendar year-ends or...

In this paper, we provide evidence that trading driven by investors' behavioral biases contributes to stock return momentum. In particular, we focus on two types of irrational trading, momentum trading and confidence-influenced trading, which could be driven by psychological biases introduced by...

Replaced with revised version of paper 06/17/08.

In this article we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a de-correlation analysis is...

A remarkable disagreement/deviation between the rate of ISO 14001 registration and the rate of implementation of environmental impact assessment in the Chinese construction industry indicates that the contractors there might not have really applied environmental management (EM) in construction...

In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them the burn analysis, index value simulation and daily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is...

Systemic weather risk is a major obstacle for the formation of private (nonsubsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose copula...

This study examines rainfall variability and its implications for wheat production risk in northeast Germany. The hedging effectiveness of rainfall options and the role of geographical basis risk are analyzed using a daily precipitation model. Simpler pricing methods such as the burn analysis...