Introducere în analiza anomaliilor calendaristice, Partea a doua

Stefanescu, Răzvan and Dumitriu, Ramona (2020): Introducere în analiza anomaliilor calendaristice, Partea a doua.

Abstract

This paper approaches some simple methods for the calendar anomalies identification. Taking the TOY Effect as an example, we show how the t tests or the OLS regressions could be used to detect a seasonal component of the financial assets’ returns.

• Item Type: MPRA Paper
• English Title: An Introduction to the Analysis of the Calendar Anomalies, Part 2
• Language: Romanian
• Keywords: Financial markets, Calendar anomalies, Turn-of-the-year effect
• Subjects: G - Financial Economics > G0 - General > G02 - Behavioral Finance: Underlying Principles; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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