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In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 23, Heft 4, S. 495-522
ISSN: 1475-6803
AbstractRecent studies on the U.S. market find that the Monday effect is observed mainly when the return on the previous Friday is negative or when the Monday falls within the last two weeks of the month. I look for international evidence and examine whether such properties of the Monday effect are related to another anomalous phenomenon—high weekend correlation. By examining twenty‐three equity market indexes, I find that the negative Friday is, in general, important to the Monday effect. Furthermore, Monday returns tend to be lowest on the fourth week of the month. Although high weekend correlation is also common to these markets, it seems not related to the bad‐Friday factor and shows no seasonality across weeks of the month.JEL classification: G15, G10.
In: Journal of Banking and Finance (2020), Vol. 121, 105968
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In: Journal of Financial Intermediation, Forthcoming
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In: GMU Working Paper in Economics No. 12-19
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In: IMF Working Papers, S. 1-33
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In: IMF Working Papers
This paper investigates the short-term effects of fiscal consolidation on economic activity in OECD economies. We examine the historical record, including Budget Speeches and IMFdocuments, to identify changes in fiscal policy motivated by a desire to reduce the budget deficit and not by responding to prospective economic conditions. Using this new dataset, our estimates suggest fiscal consolidation has contractionary effects on private domestic demand and GDP. By contrast, estimates based on conventional measures of the fiscal policy stance used in the literature support the expansionary fisca
In: Journal of Property Investment & Finance, Band 30, Heft 4, S. 375-388
In: IMF Working Papers, S. 1-40
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In: The Financial Review, forthcoming
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