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Firm heterogeneity and calendar anomalies

journal contribution
posted on 01.01.2012, 00:00 authored by Susan SharmaSusan Sharma, Paresh Narayan
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.

History

Journal

Applied financial economics

Volume

22

Issue

23

Pagination

1931 - 1949

Publisher

Taylor & Francis

Location

London, England

ISSN

0960-3107

eISSN

1466-4305

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2012, Taylor & Francis

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