Rendimientos estacionales en la bolsa Española: Importancia del tamaño de la empresa

This paper investigates the most important calendar anomalies in the Spanish stock market during the period January 1995-May 2006. Unlike previous research on the Spanish case that tended to focus on a single anomaly, we have investigated all the most important calendar anomalies simultaneously. Such an approach minimizes the probability of obtaining purely spurious anomalies, therefore providing more robust results The use of IBEX-35 and IBEX-Small caps indexes allows for both, the assessment of different behaviors depending on the size of the firm and the prevention of potential data mining problems Our results show serious calendar anomalies in IBFX-35 and mostly in IBEX-Small caps during the period under research.