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Firm heterogeneity and calendar anomalies
journal contribution
posted on 2012-01-01, 00:00 authored by Susan SharmaSusan Sharma, Paresh NarayanWhile 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.
History
Journal
Applied financial economicsVolume
22Issue
23Pagination
1931 - 1949Publisher
Taylor & FrancisLocation
London, EnglandPublisher DOI
ISSN
0960-3107eISSN
1466-4305Language
engPublication classification
C1 Refereed article in a scholarly journalCopyright notice
2012, Taylor & FrancisUsage metrics
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