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Outlines previous research on the relationship between dividend policy and stock returns; and uses a linear programme and multi‐index model to form an investment strategy to see whether dividend yields increase stock returns. Explains the methodology, tests it on 1965‐1989 US data and presents the results, which suggests that the multi‐index model is superior to the single index market model in terms of explanatory power and volatility; but provides conflicting conclusions on the relevance of dividends to stock returns. Suggests that the negative relationship between dividends and stock returns can be explained by Jensen’s (1986) free cash flow theory and the influence of transaction costs.

Refers to previous research on the effects of poor external audits on agency costs to shareholders and takes the 1991 disciplinary action by the US Securities and Exchange Commission against Ernst and Young (re the Republic Bank) as an example to examine the effect on its other audit clients and on financial institutions. Uses event study methods to show that there were no statistically abnormal returns for financial institutions or for Ernst and Young’s audit clients; but significant negative returns for firms audited by non‐big six auditors.

The paper aims to examine the Russian stock and bond markets for evidence of calendar anomalies in the first decade of the twenty-first century including a monthly seasonality, weekday seasonality, and a turn-of-the-month (TOM) seasonality. The study is motivated by interest in the Russian transition to a free market economy and provides an opportunity to examine an important emerging market in the process of transition, while adding to the extensive body of research on calendar anomalies.

Parametric and non-parametric tests are used to examine two Russian stock indices and two Russian bond indices for evidence of persistent calendar patterns in daily returns. The paper also includes in the study a US bond index and US stock index.

There is strong evidence of a persistent monthly pattern (but no January effect) and strong evidence of weekday seasonality (but no Monday effect) in the Russian bond market. There is also strong support for a TOM effect in the Russian and US stock and bond markets.

The stock return data cover a ten-year period covering two recessions, two bull markets, and two bear markets, including the 2008 crisis. The bond market data are limited to six years of data and the results may be biased by the time period analyzed.

This is the first study, to the knowledge, that extensively examines the Russian stock and bond markets for evidence of calendar anomalies and finds a significant monthly pattern in Russian bonds.

The purpose of this paper is to test prominent calendar anomalies for Indian securities markets those are commonly reported for advanced markets.

The study considers closing values of 11 different indices of National Stock Exchange India, for the period 1994-2014. By using dummy variable regression technique, five different calendar anomalies namely day of the week effect, month of the year effect, mid-year effect, Halloween effect, and trading-month effect are tested. Also, the evidence of volatility clustering has been tested through the application of generalized autoregressive conditional heteroscedasticity (GARCH)-M models.

The results display weak evidence in support of a positive Wednesday effect. The results also display weak evidence in support of a positive April and December effect. The results show strong evidence in support of a positive September effect. The Halloween effect was not found significant. The test of mid-year effect provides evidence that the returns obtained on the second-half or the year are considerably higher than those obtained during the first half. The test of interactions effects showed possible presence of interactions among various effects. The GARCH-based tests display strong evidence in support of volatility clustering.

The results have several implications for investors, regulators, and researchers. For investors, the trading strategies based on results obtained have been discussed. Similarly, certain key implications for regulators have been described.

The originality of the paper lies in the long time frame and multiple indices covered. Also, the study analyses five different calendar anomalies and the interactions among these effects. These analyses provide useful insights regarding returns predictability for the Indian securities markets.