The Month-of-the Year Effect nos mercados europeu, americano, australiano e asiático

Dissertação de Mestrado em Gestão/MBA

Kalenterianomaliat Suomessa, Yhdysvalloissa, Isossa-Britanniassa ja Kaakkois-Aasiassa

Tutkimuksessa selvitetään kalenterianomalioiden esiintymistä Suomessa, Yhdysvalloissa, Isossa-Britanniassa ja Kaakkois-Aasiassa. Työssä esitellään erilaisia kalenterianomalioita, joita ovat muun muassa viikonpäivä-, kuukausi- ja vuodenvaihdeanomalia. Tutkimuksessa esitellään myös aikaisempia tutkimuksia sekä anomalioita kritisoivaa käyttäytymistieteellisen rahoituksen teoriaa. Aikaisempien tutkimusten tapaan tutkimusaineisto koostui kohdealuei-den markkinoita kuvaavien osakeindeksien päiväkohtaisista tuotoista. Tutkimusperiodi on vuodesta 2002 vuoteen 2012. Tutkimukses-sa käytettiin lineaarista regressioanalyysia selvittämään poikkeavia tuotto-ja. Työssä keskityttiin viikonpäivä- ja kuukausianomalioiden lisäksi etsi-mään poikkeavia tuottoja myös jaettaessa aineisto kvartaaleittain sekä puolivuosittain. Tutkimustulosten perusteella anomaliaa havaittiin ainoastaan Kaakkois-Aasian markkinoilla. Jaettaessa aineisto puolivuosittain, huomattiin alku-vuoden tuottojen olevan korkeampia kuin tuotot keskimäärin heinäkuusta joulukuuhun. Tulos viittaa kehittyneiden markkinoiden toimivan kehittyviä markkinoita tehokkaammin. Kehittyneillä markkinoilla ei tutkimusaineis-ton perusteella voida havaita kalenteri-ilmiöstä johtuvia poikkeavia tuotto-ja.

The Anchoring Bias of Investors and the 52-Week High Momentum Strategy in the OMX Helsinki Stock Exchange: Psychological Approach to Market Efficiency

The behavioural finance literature expects systematic and significant deviations from efficiency to persist in securities markets due to behavioural and cognitive biases of investors. These behavioural models attempt to explain the coexistence of intermediate-term momentum and long-term reversals in stock returns based on the systematic violations of rational behaviour of investors. The study investigates the anchoring bias of investors and the profitability of the 52-week momentum strategy (GH henceforward). The relatively highly volatile OMX Helsinki stock exchange is a suitable market for examining the momentum effect, since international investors tend to realise their positions first from the furthest security markets by the time of market turbulence. Empirical data is collected from Thomson Reuters Datastream and the OMX Nordic website. The objective of the study is to provide a throughout research by formulating a self-financing GH momentum portfolio. First, the seasonality of the strategy is examined by taking the January effect into account and researching abnormal returns in long-term. The results indicate that the GH strategy is subject to significantly negative revenues in January, but the strategy is not prone to reversals in long-term. Then the predictive proxies of momentum returns are investigated in terms of acquisition prices and 52-week high statistics as anchors. The results show that the acquisition prices do not have explanatory power over the GH strategy’s abnormal returns. Finally, the efficacy of the GH strategy is examined after taking transaction costs into account, finding that the robust abnormal returns remain statistically significant despite the transaction costs. As a conclusion, the relative distance between a stock’s current price and its 52-week high statistic explains the profits of momentum investing to a high degree. The results indicate that intermediateterm momentum and long-term reversals are separate phenomena. This presents a challenge to current behavioural theories, which model these aspects of stock returns as subsequent components of how securities markets respond to relevant information.

Kuukausi- ja kuunvaihdeanomalia Suomen osakemarkkinoilla vuosina 2005-2013

Tutkimuksen tavoitteena on tutkia tammikuu- ja kuunvaihdeanomalian esiintymistä Suomen osakemarkkinoilla.

Anomalias da hipótese de eficiência de mercado: estudo do efeito dia da semana na Bolsa de Valores de Cabo Verde

A eficiência dos mercados tem sido uma questão que tem despertado muito interesse no campo dos investimentos e da investigação financeira durante as últimas décadas, mas nos últimos anos com a intensificação dos estudos e surgimento de evidências da existência de comportamentos anómalos nas rentabilidades dos ativos financeiro, esta teoria passou a ser questionada no meio académico. A discussão do tema é ainda muito polémico, pois existem de um lado os defensores da hipótese de eficiência que defendem que as anomalias identificadas não podem ser generalizadas e não são consistentes ao longo do tempo, e de outro lado os defensores da corrente das finanças comportamentais, segundo os quais as anomalias são provocadas por padrões documentados de comportamento irracional dos investidores, sendo que estes comportamentos são inconsistentes com a teoria de eficiência dos mercados. Entre as anomalias detetadas, destacam-se as anomalias de Calendário, tais como o efeito Janeiro, efeito dia da semana, efeito feriado, entre outros; anomalias na valorização de ativos, tais como o efeito tamanho e outras anomalias de sobre reação. O efeito dia da semana é dos mais persistentes detetados em vários mercados internacionais e tendo em conta este cenário, o objetivo desta dissertação é a verificação da existência das anomalias de calendário, mais precisamente o efeito dia da semana onde se irá analisar o efeito segunda-feira, efeito sexta-feira, o efeito fim-de­ semana. Para esta verificação foram utilizadas as cotações diárias médias do Índice da Bolsa de Valores de Cabo Verde, no período de finais de 2005 a finais de 2008. A análise estatística dos resultados diários indicou que não existem evidências da existência do efeito dia da semana. ABSTRACT: The markets efficiency has been an issue of particular interest in the field of financial investigation in recent decades. However, due to the intensification of the studies and the arise of evidences about the existence of abnormal behaviours on financial assets returns, over the last years, this theory begun to be discussed in academic circles. The debate of this theme is still very controversial, because on one hand there are the defenders of the efficiency hypothesis, who defend that identified anomalies cannot be generalized and are not consistent in the long-term; on the other hand, there are the defenders of behavioral finance tendency, to whom the anomalies are caused by documented patterns about the irrational behaviour of investors. These behaviours are inconsistent with the markets efficient theory. Among the detected anomalies, we highlight the calendar anomalies, such as: the January effect, the day of week effect and holiday effect among others; anomalies over the valuation of assets, such as: the size effect and other anomalies on the reaction. The day of week effect is one of the most persistent effect detected in several international markets, and due to this scenario, the objective of this essay is the finding of calendar abnormalities, namely the day of week effect, where the Monday, the Friday and the weekend effects will be analyzed. For this checking, we used the average daily exchange rates from the prices of the Cape Verde Stock Exchange, for the period from late 2005 to late 2008. The statistical analysis of daily results indicated that there is no evidence of the existence of the day of the week effect.

Revised Salary Scales for Medical Consultants with effect from 1 January 2009

Revised Salary Scales for Medical Consultants with effect from 1 January 2009 Click here to download PDF 56kb

Exports and Firm Productivity: The effect of US steel safeguards. Bruges European Economic Research (BEER) Papers 19/January 2011

This paper investigates possible negative effects of the 2002 US steel safeguards on productivity of Eurozone steel companies. The analysis is based on an extensive literature which predicts that exporting firms not only are bigger and more productive, but also that exporting itself has positive effects, improving efficiency and leading to better utilization of firm resources. The paper investigates a large sample of EU-13 steel producing firms, in the 1998 - 2005 period. Using three methods of Total Factor Productivity (TFP) estimation among which the Olley-Pakes semiparametric estimator, we first calculate the productivity levels of companies, and then check for any unusual fluctuation in this performance variable. We find that in 2002 there has been a significant drop in TFP. The paper is an invitation for further research in this field, given the possible important effects of safeguard measures on exporters.

Ohio school laws, from revised statutes passed June 20th, 1879, to take effect January 1st, 1880, as amended up to April 19th, 1883, accompanied by general statues, Supreme court decisions, and explanatory notes, bearing on the management of schools and school property: to which are added parliamentary rules of order and a complete set of blank forms.

D. F. De Wolf, State Commissioner of Common Schools.

Articles of organization of the Joint traffic association. Adopted November 19th, 1895. To take effect January 1st, 1896.

Mode of access: Internet.

Illinois library laws and rules in effect January ... /

Latest issue consulted: 2010.

Selections from the revised statutes of the state of New York : containing all the laws of the state relative to slaves, and the law relative to the offence of kidnapping, which several laws commenced and took effect January 1, 1830 : together with extracts from the laws of the United States, respecting slaves.

Caption title: Selections from revised statutes.

Synopsis of federal plant quarantines affecting interstate shipments in effect January 1, 1934 /

Caption title.