Open AccessMarket Anomalies Revisited
Author(s) -
Amitava Chatterjee,
Balasundram Maniam
Publication year - 2011
Publication title -
journal of applied business research
Language(s) - English
Resource type - Journals
eISSN - 2157-8834
pISSN - 0892-7626
DOI - 10.19030/jabr.v13i4.5740
Subject(s) - january effect , weekend effect , dividend , economics , econometrics , multivariate statistics , value (mathematics) , financial economics , monetary economics , statistics , mathematics , stock market , geography , finance , medicine , emergency medicine , context (archaeology) , archaeology
The existence of market return anomalies have long been recognized in the finance literature. Several studies have documented the effects of size, dividend yields, E/P ratios, book-to-market value ratios, weekend, and turn of the year (January effect) on market returns. Still, much controversy surrounds the existence of, and explanations for the observed market anomalies. This study uses 1987-92 returns data to help provide more current evidence concerning market anomalies. A multivariate regression model (MVRM) is used to test for the presence of size effect, weekend effect, and January effect in this period. Evidence indicates the existence of a January effect for small firms, but other effects are not detected an any significant levels.