MARC Record from Library of Congress

LEADER: 02571cam a22003137a 4500
001 2005616809
003 DLC
005 20050225164449.0
007 cr |||||||||||
008 050225s2005 gau sb f000 0 eng
010 $a 2005616809
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aHansen, Peter Reinhard.
245 10 $aTesting the significance of calendar effects$h[electronic resource] /$cPeter Reinhard Hansen, Asger Lunde, and James M. Nason.
260 $a[Atlanta, Ga.] :$bFederal Reserve Bank of Atlanta,$c[2005]
490 1 $aWorking paper series / Federal Reserve Bank of Atlanta ;$v2005-2
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 2/25/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper studies tests of calendar effects in equity returns. It is necessary to control for all possible calendar effects to avoid spurious results. The authors contribute to the calendar effects literature and its significance with a test for calendar-specific anomalies that conditions on the nuisance of possible calendar effects. Thus, their approach to test for calendar effects produces robust data-mining results. Unfortunately, attempts to control for a large number of possible calendar effects have the downside of diminishing the power of the test, making it more difficult to detect actual anomalies. The authors show that our test achieves good power properties because it exploits the correlation structure of (excess) returns specific to the calendar effect being studied. We implement the test with bootstrap methods and apply it to stock indices from Denmark, France, Germany, Hong Kong, Italy, Japan, Norway, Sweden, the United Kingdom, and the United States. Bootstrap p-values reveal that calendar effects are significant for returns in most of these equity markets, but end-of-the-year effects are predominant. It also appears that, beginning in the late 1980s, calendar effects have diminished except in small-cap stock indices"--Federal Reserve Bank of Atlanta web site.
653 $aPhillips curve;$acalendar effects;$adata mining;$asignificance test
700 1 $aLunde, Asger.
700 1 $aNason, James M.
710 2 $aFederal Reserve Bank of Atlanta.
830 0 $aWorking paper series (Federal Reserve Bank of Atlanta : Online) ;$v2005-2.
856 40 $uhttp://www.frbatlanta.org/invoke.cfm?objectid=ED6D5FEA-5056-B966-A64A814F2BB467F1&method=display