Firm heterogeneity and calendar anomalies

Sharma, Susan Sunila and Narayan, Paresh Kumar 2012, Firm heterogeneity and calendar anomalies, Applied financial economics, vol. 22, no. 23, pp. 1931-1949, doi: 10.1080/09603107.2012.692870.

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Title Firm heterogeneity and calendar anomalies
Author(s) Sharma, Susan SunilaORCID iD for Sharma, Susan Sunila
Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar
Journal name Applied financial economics
Volume number 22
Issue number 23
Start page 1931
End page 1949
Total pages 19
Publisher Taylor & Francis
Place of publication London, England
Publication date 2012
ISSN 0960-3107
Keyword(s) calendar anomalies
Summary While the calendar anomalies and financial market relationship is one of the oldest relationships in financial economics, we treat this relationship differently by addressing two unknown issues: (a) Do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending on the sectoral location of firms? and (b) Do calendar anomalies affect firm returns and firm volatility differently depending on firm size? Unlike the assumption in this literature that firms are homogeneous, we show that they are in fact heterogeneous. Using 560 firms listed on the New York Stock Exchange (NYSE) over the period 5 January 2000 to 31 December 2008, we find fresh results, previously undocumented in this literature. We find evidence of calendar anomalies affecting returns and return volatility of firms differently depending on their sectoral locations and size.
Language eng
DOI 10.1080/09603107.2012.692870
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2012, Taylor & Francis
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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