Firm heterogeneity and calendar anomalies

Susan Sunila Sharma, Paresh Kumar Narayan

Research output: Contribution to journalArticleResearchpeer-review

11 Citations (Scopus)


While the calendar anomalies and financial market relationship is one of the oldest relationships in financial economics, we treat this relationship differently by addressing two unknown issues: (a) Do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending on the sectoral location of firms? and (b) Do calendar anomalies affect firm returns and firm volatility differently depending on firm size? Unlike the assumption in this literature that firms are homogeneous, we show that they are in fact heterogeneous. Using 560 firms listed on the New York Stock Exchange (NYSE) over the period 5 January 2000 to 31 December 2008, we find fresh results, previously undocumented in this literature. We find evidence of calendar anomalies affecting returns and return volatility of firms differently depending on their sectoral locations and size.

Original languageEnglish
Pages (from-to)1931-1949
Number of pages19
JournalApplied Financial Economics
Issue number23
Publication statusPublished - 2012
Externally publishedYes


  • calendar anomalies
  • heterogeneous
  • returns
  • volatility

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