The CAPM is examined using daily Canadian stock returns. There is no January Effect but there are Turn-Of-The-Year, Turn-Of-The-Month, October and Monday Effects. For each calendar effect on stock returns, there is a corresponding effect on the risk-return relationship. Thus, calendar effects on a given portfolio are proportional to the level of market risk associated with it.
CITATION STYLE
Cadsby, C. B. (1989). Canadian Calendar Anomalies and the Capital Asset Pricing Model. In A Reappraisal of the Efficiency of Financial Markets (pp. 199–226). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-74741-0_11
Mendeley helps you to discover research relevant for your work.