AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY

نویسندگان

چکیده

In this paper, we investigate the presence of Halloween effect in long-term reversal anomaly US. When examine cross-sectional returns winner-minus-loser portfolios formed on prior over time period 1931-2021, find evidence stronger during winter months versus summer months. particular, appears to be driven by very strong winter-summer seasonality portfolio small-capitalisation losers, and lack large-capitalisation winners. Our finding is robust alternative measures reversal, differing sub-periods, inclusion January outlier considerations, as well within small large-sized companies.

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ژورنال

عنوان ژورنال: Applied finance letters

سال: 2021

ISSN: ['2253-5802', '2253-5799']

DOI: https://doi.org/10.24135/afl.v10i.465