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- W2132769679 abstract "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: do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending on the sectoral location of firms? and 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 NYSE over the period 05 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." @default.
- W2132769679 created "2016-06-24" @default.
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- W2132769679 date "2011-01-01" @default.
- W2132769679 modified "2023-09-24" @default.
- W2132769679 title "Firm Heterogeneity and Calendar Anomalies" @default.
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- W2132769679 doi "https://doi.org/10.2139/ssrn.2052080" @default.
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