Title: The efficient market hypothesis and calendar anomalies: a literature review

Authors: Matteo Rossi

Addresses: DEMM Department, University of Sannio, Via delle Puglie, 82, 82100 Benevento, Italy

Abstract: One of the most important principles used in measuring the market's efficiency is the ability of prices to reflect all currently available information. The Efficient Market Hypothesis (EMH) is the proposition that current stock prices fully reflect all available information about the value of the firm and that there is no way to earn excess profits by using this information. The EMH has received an abundance of attention since its inception. However, evidence against the EMH is growing, and numerous studies have documented return predictability. In fact, despite its relative simplicity, this hypothesis has also generated considerable controversy. After all, the EMH questions the ability of investors to consistently detect mispriced securities. For these reasons, scholars have recently been studying the calendar anomalies that are one of the characteristics of financial markets, and these anomalies are found to contradict the EMH. The purpose of this paper is to present a systematic review of the existing literature on calendar anomalies. This critical examination of the relationship between the EMH and calendar anomalies provides new insights for scholars and executives.

Keywords: market efficiency; efficient market hypothesis; calendar anomalies; January effect; turn-of-the-month effect; day-of-the-week effect; literature review; stock markets; firm value; stock prices; mispriced securities.

DOI: 10.1504/IJMFA.2015.074905

International Journal of Managerial and Financial Accounting, 2015 Vol.7 No.3/4, pp.285 - 296

Available online: 22 Feb 2016 *

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