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In order to examine different approaches to event studies, I am looking for a market anomaly which is simple to replicate in an event study for demonstration purposes. For example, post-earnings-announcemet drift is made tricky by the different points in time over the year at which companies disclose their earnings. I am thus looking for an anomaly based on a stock characteristic that is available at a frequency common for price data (i.e. daily, monthly etc.).

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The January effect is easy to demonstrate. Always the same dates for multiple shares.

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