Tag: dummy regression

Does the day of week effect exist in other asset classes?

Posted on | by Robin Jakob

Purpose: This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021. Design/methodology /approach: To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis. Findings: Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays. Practical implications: The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible.

Authors: Marcel Steinborn
Publication date: 26 April 2023
Published in: Studies in Economics and Finance, Emerald Group Publishing Limited
Volume/ Ausgabe:Volume 41, Issue 1
Source download link: https://www.emerald.com/insight/content/doi/10.1108/SEF-12-2021-0517/full/html

“Sell in May” effect: an investigation of Listed PE

Posted on | by Robin Jakob

This paper aims to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004-2017. Methodology: Ordinary least squares regressions, generalized autoregressive conditional heteroscedasticity (GARCH) regressions, and robust regressions are used to investigate the existence of the “Sell in May” effect in globally listed private equity markets. Additionally, we conduct robustness checks by dividing our sample period into two subperiods: pre-financial and post-financial crisis periods. Findings: We find limited statistically significant evidence for the “Sell in May” effect. In particular, we observed a statistically significant “Sell in May” effect when taking time-varying volatility into account. These findings indicate that the “Sell in May” effect is driven by time-varying volatility. By contrast, economic significance as measured by visual return inspection and the magnitude of the estimated “Sell in May” coefficients in combination with their positive signs was found to be considerable. Practical implications: Our findings are important for all kinds of investors and asset managers who are considering investing in listed private equity. Originality/value: The authors present a novel study that examines the “Sell in May” effect for globally listed private equity markets by using LPX indices, offering valuable insight into this growing asset class.

Authors: Carmen Bachmann / Lars Tegtmeier / Johannes Gebhardt / Marcel Steinborn
Publication date: 23 May 2019
Published in: Managerial Finance
Volume/ Ausgabe: Volume 45, Issue 6
Source download link: https://www.emerald.com/insight/content/doi/10.1108/MF-07-2018-0322/full/html