Abstract
Anomalies, such as calendar effects, could be defined as phenomena where systematic returns patterns are observed. Partisans to informational market efficiency suggest that calendar effects are prone to disappear, as investors in the market could implement strategies in order to take advantage of these anomalous behaviors. Thus we often evocate the ‘self destruction property of anomalies'. However, according to Marquering, Nisser & Valla study's over 1960 – 2003 on DJIA, some calendar effects seem to persist, despite their publication in academic journals. In particular, “turn of the month effect” has been persistent over the time and does not seem to have disappeared. “Week-end effect” and “January effect” were still persistent in the 1990's, although they seem to have progressively disappeared recently. Consequently, have the main calendar effects disappear over the time? The objective of this paper is to determine, whether or not, main calendar effects were persistent over 1998 - 2001 in several European countries and in the United States. The next section synthesizes main previous studies on calendar effects. Then section 3 describes the methodology used for our study.
