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Applied Economics Letters Volume 27, 2020 - Issue 1
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Articles

Exposition of evidence for idiosyncratic versus induced seasonality in ETF performance

Carlos F. AlvesFaculty of Economics, CEF.UP, University of Porto, Porto, PortugalCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-3861-8554View further author information
ORCID Icon &
Duarte A. ReisFaculty of Economics, University of Porto, Porto, PortugalView further author information
Pages 14-18 | Published online: 22 Apr 2019

References

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  • Chen, H., and A. Chua. 2011. “The Turn-Of-The-Month Anomaly in the Age of ETFs: A Reexamination of Return-Enhancement Strategies.” Journal of Financial Planning 24 (4): 62–67.
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  • Marquering, W., J. Nisser, and T. Valla. 2006. “Disappearing Anomalies: A Dynamic Analysis of the Persistence of Anomalies.” Applied Financial Economics 16 (4): 291–302. doi:10.1080/09603100500400361.
  • Mohamad, A., A. Jaafar, and J. Goddard. 2016. “Short Selling and Exchange-Traded Funds Returns: Evidence from the London Stock Exchange.” Applied Economics 48 (2): 152–164. doi:10.1080/00036846.2015.1076146.
  • Patel, J. 2016. “The January Effect Anomaly Reexamined in Stock Returns.” Journal of Applied Business Research 32 (1): 317–324. doi:10.19030/jabr.v32i1.9540.

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