Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for July 2020 (Final)
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Momentum Investing Strategy (Strategy Overview)

Allocations for July 2020 (Final)
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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.

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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