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

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

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