Quantpedia Update

Two new strategies have been added:

#258 – FX Value v2 – Real Exchange Rate Changes
#259 – FX Value v3 – Real Exchange Rate Levels

Three new related research paper have been included into existing premium strategy reviews.

And three new related research paper have been included into existing free strategy reviews.

Related research paper has been included into existing free strategy review.

#83 – Pre-Holiday Effect

Authors: Carchano, Tornero

Title: The Pan-European Holiday Effect

Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2556949

Abstract:

The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays

Notable quotations from the paper:

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