Article ID: | iaor20171802 |
Volume: | 17 |
Issue: | 1 |
Start Page Number: | 99 |
End Page Number: | 114 |
Publication Date: | Apr 2017 |
Journal: | Operational Research |
Authors: | Evangelos Vasileiou |
Keywords: | finance & banking, economics |
Calendar anomalies (CAs) have been puzzling financial economists and practitioners for decades. The existence of CAs violates one of the most significant financial theories: the efficient market hypothesis (Fama in J Finance 25:383–417, 1970). Up to date most financial economists have examined the existence of CAs only in capital markets. However, as most scholars suggest, an economy’s financial structure includes two main distribution channels: financial markets and financial intermediaries. Therefore, a question that emerges is why do we examine the CAs