Calendar Effects

Do Treasury instruments exhibit a seasonal return pattern? If so, is the pattern related to that of stock returns? In their September 2007 paper entitled “Opposing Seasonalities in Treasury versus Equity Returns”, Mark Kamstra, Lisa Kramer and Maurice Levi investigate the calendar month dependence of returns for U.S. Treasuries and its relationship to that of U.S. stock returns. Using monthly returns for mid-term to long-term Treasury indexes and for a broad equal-weighted stock index over the period 1952-2004, along with contemporaneous economic data, they find that: Keep Reading

What part of the day offers the best stock returns? Does this sweet spot vary by day of the week, time of the month or calendar month? In their July 2007 paper entitled “Return Differences between Trading and Non-trading Hours: Like Night and Day”, Michael Cliff, Michael Cooper and Huseyin Gulen use transaction-level data to decompose returns for individual stocks and exchange-traded funds (ETF) into four time intervals: Night (4:00 PM to 9:30 AM), AM (9:30 AM to 10:30 AM), Mid-day (10:30 AM to 3:00 PM), and PM (3:00 PM – 4:00 PM). Using intraday price data for the period 1993-2006, they conclude that: Keep Reading

Do stocks have annual rhythms beyond the January effect? In their March 2007 paper entitled “Common Patterns of Predictability in the Cross-Section of International Stock Returns”, Steven Heston and Ronnie Sadka investigate cyclic patterns of return predictability for stocks in Canada, Japan and twelve European countries (chosen based on the number of firms available for analysis). Using monthly returns over the period January 1985 through June 2006 (258 months), they conclude that: Keep Reading

Does an opening stock price above or below the prior session close indicate price movement for the rest of the trading day? If so, is the indication tradable. In their September 2006 paper entitled “The Overnight Return: One More Anomaly”, Ben Branch and Aixin Ma investigate the relationships between overnight and adjacent intraday returns for individual stocks. Using NYSE, AMEX and NASDAQ data over the period 1994-2005, they find that: Keep Reading

Do hedge funds eliminate, or even reverse, seasonal effects in the returns of the stock market? In his September 2006 paper entitled “Seasonality in Hedge Fund Strategies”, Yan Olszewski investigates general seasonal effects for various hedge fund strategies. Using monthly excess return data during 1990-2005 for 30 of the 37 equally-weighted Hedge Fund Research strategy indexes encompassing over 1600 funds, he finds that: Keep Reading

Do stock prices move systematically at the turn of calendar months? In the July 2006 draft of their paper entitled “Equity Returns at the Turn of the Month”, Wei Xu and John McConnell examine equity returns from the beginning the last trading day of one month through the first three trading days of the next month. Using daily returns for a broad range of stocks across exchanges over the period 1926-2005 (with focus on the segment 1987-2005), they conclude that: Keep Reading

The Halloween effect suggests that investors should be in stocks during November through April and in cash during May through October. Is there a connection between the January effect and the Halloween effect, or are they distinct market anomalies? In their March 2006 paper entitled “Halloween or January? Yet Another Puzzle”, Brian Lucey and Shelly Zhao examine seasonal returns to determine whether the Halloween effect is just an imprecise reflection of the January effect. Using monthly return data for U.S. stocks allocated to capitalization-based size deciles over the period 1926-2002, they conclude that: Keep Reading

In case you are sick of hearing about the January effect… Keep Reading

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

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