Calendar Effects

The time of year affects human activities and moods, both through natural variations in the environment and through artificial customs and laws. Do such calendar effects systematically and significantly influence investor/trader attention and mood, and thereby equity prices? These blog entries relate to calendar effects in the stock market.

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Stock Market and the Super Bowl

Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting and anxiety-producing? Is the week after the Super Bowl focusing and anxiety-relieving? Presumably, post-game elation and depression cancel between respective fan bases. Using past Super Bowl dates since inception and daily/weekly S&P 500 Index data for 1967 through 2015 (49 events), we find that: Keep Reading

Anomalies by Day of the Week

Are moody investors prone to avoid risk on Monday and accept it on Friday? In his January 2016 paper entitled “Day of the Week and the Cross-Section of Returns”, Justin Birru examines how long-short U.S. stock anomaly portfolio returns vary by day of the week. His hypothesis is that pessimistic (optimistic) mood on Monday (Friday) leads to relatively low (high) returns for speculative stocks. His analysis focuses on 14 anomalies arguably tied to investor sentiment, with one side (short or long) speculative and the other side non-speculative, based on idiosyncratic volatility, lottery-like, firm age, distress, profitability, payouts, size or illiquidity. He also tests anomalies arguably unrelated to investor sentiment based on momentum, book-to-market, and asset growth. Using anomaly variable and return data for a broad sample of U.S. common stocks during July 1963 through December 2013, he finds that: Keep Reading

Momentum Strategy and Trading Calendar Updates

We have updated the the monthly asset class ETF momentum winners and associated performance data at Momentum Strategy.

We have updated the Trading Calendar to incorporate data for January 2016.

January Barometer Over the Long Run

Does long term data support the belief that “as goes January, so goes the rest of the year” (January is the barometer) for the the U.S. stock market? Robert Shiller’s long run sample, which calculates monthly levels of the S&P Composite Stock Index since 1871 as average daily closes during calendar months, offers data for testing. Because average monthly levels differ from monthly closes, we run all tests also on the the S&P 500 Index. Using monthly levels of the S&P Composite Stock Index for 1871-2015 (145 years) and monthly and daily closes of the S&P 500 Index for 1950-2015 (66 years), we find that: Keep Reading

Combining Seasonality and Trend Following by Asset Class

Does seasonality usefully combine with trend following for timing asset markets? In his January 2016 paper entitled “Multi-Asset Seasonality and Trend-Following Strategies”, Nick Baltas examines seasonal patterns (based on same calendar month over the past ten years) for four asset classes: commodities, government bonds, currency exchange rates and country equity markets. He then tests whether identified seasonal patterns enhance a simple trend-following strategy that is long (short) the inverse volatility-weighted assets within a class that have positive (negative) excess returns over the past 12 months. Specifically, he closes any long (short) trend positions in the bottom (top) fifth of seasonality rankings. To assess net performance, he considers trading frictions ranging from 0.05% to 0.25%. Using spot and front futures return data for 19 commodity price indexes and spot return data for 16 10-year government bonds, 10 currency exchange rates and 18 country equity total return indexes as available through December 2014, he finds that: Keep Reading

Sector Performance by Calendar Month

The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various stock market sectors deviate from an overall market profile? To investigate, we consider the nine sectors defined by the Select Sector Standard & Poor’s Depository Receipts (SPDR), all of which have trading data back to December 1998:

Materials Select Sector SPDR (XLB)
Energy Select Sector SPDR (XLE)
Financial Select Sector SPDR (XLF)
Industrial Select Sector SPDR (XLI)
Technology Select Sector SPDR (XLK)
Consumer Staples Select Sector SPDR (XLP)
Utilities Select Sector SPDR (XLU)
Health Care Select Sector SPDR (XLV)
Consumer Discretionary Select SPDR (XLY)

Using monthly adjusted closing prices for these exchange traded funds (ETF) since inception, along with contemporaneous data for Standard & Poor’s Depository Receipts (SPY) as a benchmark, for December 1998 through December 2015 (205 months), we find that: Keep Reading

Stock Market Performance by Intra-year Phase

The full-year Trading Calendar suggests that the U.S. stock market may have three phases over the calendar year, corresponding roughly to calendar year trading days 1-84 (January-April), 85-210 (May-October) and 211-252 (November-December). What are typical stock market returns and return variabilities for these phases? Using daily S&P 500 Index closes during 1950 through 2015 (66 years), we find that: Keep Reading

Stock Returns Around New Year’s Day

Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into U.S. stock market returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily closing levels of the S&P 500 Index around New Year’s Day for 1951-2015 (65 observations), we find that: Keep Reading

SPY by Day of Week and Overnight

Does the broad U.S. stock market, as realistically represented with dividends by SPDR S&P 500 (SPY), exhibit reliable day-of-the-week and/or overnight return anomalies? To check, we consider three returns:

  • Close-Open: measured from prior close to open. (For example, the Monday Close-Open return is from the close on the prior trading day, usually Friday, to the open on Monday.)
  • Open-Close: measured from open to close.
  • Close-Close: measured from prior close to close.

We calculate returns overall, by day of the week and by the number of calendar days since the prior close (for example, 3 for a normal weekend). Using dividend-adjusted daily opening and closing prices for SPY during March 1993 through November 2015 (5,755 daily observations), we find that: Keep Reading

Stock Returns Around Christmas

Does the Christmas holiday, a time of putative good will toward all, give U.S. stock investors a sense of optimism that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily closing levels of the S&P 500 index for 1950-2014 (65 events), we find that: Keep Reading

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