Disappearing anomalies: a dynamic analysis of the persistence of anomalies

By W. Marquering, Johan Nisser, T. Valla. 2006

171 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/92b76ec09149a44f45dbe11959493f1962e7dff1

Citations in the corpus

• The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model (2014, unknown): “Marquering et al. (2006) claim that the persistence of turn-of-the-month effect might be explained by the transaction costs, which are too high for the investors to pro fi t from this calendar anomaly, as they cannot exploit the pattern.”