The Efficient Market Hypothesis and calendar anomalies: a literature review

One of the most important principles for measuring the market's efficiency is the ability of prices to reflect all the information that is currently available. The Efficient Markets Hypothesis (EHM) is the proposition that current stock prices fully reflect available information about the value of the firm (Fama, 1965), and there is no way to earn excess profits, by using this information. But, EMH has received a lot of attention since its inception. However, evidence against the EMH is growing, and numerous studies have documented return predictability. In fact, despite its relative simplicity, this hypothesis has also generated a lot of controversy. After all, the EMH questions the ability of investors to consistently detect mispriced securities. For these reasons in recent years, scholars study the calendar anomalies that are one of the characteristics of the financial markets, and they contradict the EMH. The purpose of this paper is to present a systematic review of the existing literature for the min calendar anomalies. The critical examination of the relation between EMH and calendar anomalies provides new insights for scholars and executives.