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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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January Effect Alive and Well?

In their October 2005 paper entitled “The January Effect”, Mark Haug and Mark Hirschey examine the persistence of the January effect (abnormally high rates of return during the month of January). Using broad samples of value-weighted and equally-weighted returns spanning 1802-2004 for large-capitalization stocks and 1927-2004 for small-capitalization stocks, they conclude that: Keep Reading

Comprehensive Analysis of Calendar Effects

In the January 2005 version of their working paper entitled “Testing the Significance of Calendar Effects”, Peter Reinhard Hansen, Asger Lunde and James Nason test a broad range of possible calendar effects in multiple equity markets. They examine the following effects: day-of-the-week, month-of-the-year, day-of-the-month, week-of-the-month, semi-month, turn-of-the-month, end-of-the-year and holiday. Calendar effects could be a result of data mining (finding anomalies of randomness), an especially plausible explanation when theoretical explanations are suggested only subsequent to empirical “discovery.” Applying robust tests to daily closing prices of stock indices from Denmark, France, Germany, Hong Kong, Italy, Japan, Norway, Sweden, the United Kingdom and the United States through early May 2002, they find that: Keep Reading

Testing the Halloween Effect

In their August 2005 draft paper entitled “Seasonal, Size and Value Anomalies”, Ben Jacobsen, Abdullah Mamun and Nuttawat Visaltanachoti examine the Halloween (or sell-in-May) effect (significantly higher returns during winter months than during summer months) and its relationship to the January effect and other anomalies for both equal-weighted and value-weighted U.S. market portfolios. Other anomalies they consider include those based on on firm capitalization, dividend yield, book-to-market ratio, earnings-to-price ratio and cash flow-to-price ratio. Using the Fama-French data library for 1926-2004, they find that: Keep Reading

Explaining Summer Doldrums

In the December 2004 draft of their paper on “Gone Fishin’: Seasonality in Speculative Trading and Asset Prices” Harrison Hong and Jialin Yu examine the effect of vacation periods (summer in the U.S. and January-February in China) on speculative stocks during 1992-2003. They find that: Keep Reading

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