Recent Developing Trends in Calendar Anomaly Literature

Abstract

The purpose of this brief review is to track the contemporary developments in the calendar anomaly literature. Some of the recently published empirical works are synthesized and presented, where these studies are organized and summarized by a few identified developing trends. The main strand of literature is based on the extensive evidence of calendar anomaly discoveries. Next, past research has raised the concern regarding the persistence of calendar anomalies as the existence of calendar anomalies may be attributed to data mining. Other strand of literature reflects that calendar effects are weakening and even disappearing from certain stock markets. There is also evidence showing that calendar effects may evolve but will eventually disappear in the long-run. Further, calendar anomalies may exhibit changing behaviour subject to various market conditions. By reviewing the current researches, it is found that majority of the stock markets are yet to be fully informational efficient. Hence, fund managers and investors can still benefiting from the observed calendar-based regularities.