Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach

@article{Lean2007RevisitingCA,
  title={Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach},
  author={H. Lean and R. Smyth and W. Wong},
  journal={Journal of Multinational Financial Management},
  year={2007},
  volume={17},
  pages={125-141}
}
Extensive evidence on the prevalence of calendar effects suggests that there exists abnormal returns, but some recent studies have concluded that calendar effects have largely disappeared. In spite of the non-normal nature of stock returns, most previous studies have employed the mean-variance criterion or CAPM statistics, which rely on the normality assumption and depend only on the first two moments, to test for calendar effects. A limitation of these approaches is that they miss much… Expand

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