Yearly Calendar Anomalies
The yearly seasonality of financial market returns exists in almost all countries and the difference between months is widely studied in the literature to provide useful guidelines for investment strategies (e.g., Gultekin and Gultekin, 1983). The empirical analysis of seasonality identified in any market is affected by the time horizon, the approach adopted for estimating monthly returns, and the procedure used to test the calendar anomaly (Alford and Guffey, 1996).
KeywordsTransaction Cost Investment Strategy Risky Asset Seasonal Affective Disorder January Effect
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