Anomalies: Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects
综述了证券价格在周末、假日、月末转换及日内四个时间段的异常行为，这些现象难以用传统经济学理性选择范式解释，对金融从业者和研究者识别市场规律有参考价值。
This feature will report successful searches for disconfirming evidence--economic anomalies. As suggested by Thomas Kuhn, an economic anomaly is a result inconsistent with the economics paradigm. Economics is distinguished from other social sciences by the belief that most (all?) behavior can be explained by assuming that agents have stable, well-defined preferences and make rational choices consistent with those preferences in markets that (eventually) clear. An empirical result is anomalous if it is difficult to “rationalize,” or if implausible assumptions are necessary to explain it within the paradigm. In the previous issue, I reviewed the peculiar behavior of security prices in January. Stock prices tend to rise in January, particularly the prices of small firms and firms whose stock price has declined substantially over the past few years. Also, risky stocks earn most of their risk premiums in January. This issue will conclude our survey of seasonal anomalies in security prices with a review of four additional effects: the behavior of prices over weekends, before holidays, at the turn of each month, and within the day.