Calendar Effects

…evidence from joint tests support a belief that the Halloween effect and the turn-of-the-month effect are the “real” calendar effects.

…evidence from simple tests on available data for SPY indicates that Sy Harding’s Seasonal Timing Strategy is not a compelling improvement over a buy-and-hold strategy.

…evidence from simple tests does not support a belief that going to cash or shorting the broad stock market during the earnings off-season reliably beats, or even matches, buy-and-hold. It does support a belief that the market tends to be relatively weak during earnings season.

“Does it really help to wait a half hour (or whatever) before trading?”

…investors may be able to streamline the search for anomalous returns by focusing on two factors: (1) firm size, representing the rational risk of failure; and, (2) a seasonal factor related to operating profit and buybacks-secondaries, representing irrational mispricing.

…evidence indicates that investors may be able to exploit anomalously high returns during option expiration weeks for large capitalization stocks with high ratios of option trading volume to stock trading volume.

…best guess is that there may be an anomalous up-down-up oscillation in the U.S. stock market from the trading day just before through two trading days after Easter.

…evidence from simple tests on a modest sample suggests that the U.S. stock market may lean toward abnormal strength during the week after the Super Bowl.

…evidence from simple tests does not support a belief that investors/traders tend to exit the market before three-day weekends and re-enter after. There may be some tendency toward extra bullishness (bearishness) before (after) three-day weekends, but this tendency is not very consistent.

…evidence from simple tests on recent samples supports belief that the turn-of-the-month effect holds for major stock market sectors but not for gold.

…evidence from simple tests indicates that Kaeppel’s Sector Seasonality strategy may offer persistent average market outperformance (with some extra volatility).

…evidence from simple tests suggests no reliable (exploitable) relationship between January return and prior-year return for the U.S. stock market.

…best guess is that any anomalous U.S. stock market strength around New Year’s Day will start the week before and persist for two trading days after the holiday, followed by a fade, but noise generally dominates.

…best guess is that any anomalous U.S. stock market strength around Christmas will start one trading day before and persist for several trading days after the holiday, but noise generally dominates.

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