Date of Defense

4-11-2005

Department

Finance and Commercial Law

First Advisor

Dr. Wei-Chiao Huang

Second Advisor

Dr. James DeMello

Third Advisor

Ronald Prange

Abstract

The efficient market hypothesis states that all available information, past and present, concerning the financial markets is already included in the price of the asset. This means that there is no way to "beat the market" and earn abnormal profits. There is a lot of evidence to support this hypothesis but there are also a number of "anomalies" to show that this hypothesis is not always true. Examples of these anomalies are the January Effect, the Small-Firm Effect, and the Weekend Effect. The January Effect states that prices traditionally go up more in January than in the other eleven months. The Small-firm Effect shows that small firms generally have abnormally high returns compared to larger firms. The Weekend Effect explains that prices generally go down on Monday about 75% of the time. There have also been some questions concerning if there is a Friday the Thirteenth Effect. Since Friday the Thirteenth is considered to be an ominous day, investors maybe influenced by this superstition and engage in bearish trading activities. Some people thus argue that stock prices tend to be lower on Friday the Thirteenth than other Fridays or other days in general. However, the empirical evidence is inconclusive, as no one study has provided concrete and convincing evidence to prove or disprove this anomaly.

Access Setting

Honors Thesis-Campus Only

Download

Share

COinS