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Firm heterogeneity and calendar anomalies

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  • Sharma, Susan Sunila
  • Narayan, Paresh Kumar

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: (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.
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Suggested Citation

  • Sharma, Susan Sunila & Narayan, Paresh Kumar, 2011. "Firm heterogeneity and calendar anomalies," Working Papers fe_2011_12, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:ecomet:fe_2011_12
    DOI: 10.1080/09603107.2012.692870
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    Cited by:

    1. Gkillas, Konstantinos & Vortelinos, Dimitrios I. & Babalos, Vassilios & Wohar, Mark E., 2021. "Day-of-the-week effect and spread determinants: Some international evidence from equity markets," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 268-288.
    2. Khushboo Aggarwal & Mithilesh Kumar Jha, 2023. "Stock returns seasonality in emerging asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 109-130, March.
    3. Atsin, Jessica A.L. & Ocran, Matthew K., 2015. "Calendar effects and market anomalies on the Johannesburg Stock Exchange," MPRA Paper 87448, University Library of Munich, Germany.
    4. Harshita & Shveta Singh & Surendra S. Yadav, 2019. "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 35-58, April.
    5. Boubaker, Heni & Sghaier, Nadia, 2015. "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, vol. 50(C), pages 254-265.
    6. Iglesias, Emma M., 2015. "Value at Risk and expected shortfall of firms in the main European Union stock market indexes: A detailed analysis by economic sectors and geographical situation," Economic Modelling, Elsevier, vol. 50(C), pages 1-8.
    7. Zhang, Tai-Wei & Chueh, Horace & Hsu, Yao Hua, 2015. "Day-of-the-week trading patterns of informed and uninformed traders in Taiwan's foreign exchange market," Economic Modelling, Elsevier, vol. 47(C), pages 271-279.

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