An anatomy of calendar effects
This article studies the interaction and profitability of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month (TOM) effect, weekend effect and holiday effect. We find that Halloween and TOM are the strongest and most profitable effects. The equity premium over the sample 1963-2008 is 7.2 per cent if there is a Halloween or TOM effect, and 2.8 per cent in all other cases. An investment strategy based on these two effects gives higher net risk-adjusted returns than a passive buy-and-hold strategy. These findings are robust across different sample periods, market segments and international stock markets.
|Keywords||Halloween indicator, January effect, calendar effects, holiday effect, turn-ofthe-month effect, weekend effect|
|Persistent URL||dx.doi.org/10.1057/jam.2012.9, hdl.handle.net/1765/37773|
|Journal||Journal of Asset Management|
Swinkels, L.A.P, & van Vliet, P. (2012). An anatomy of calendar effects. Journal of Asset Management, 13(4), 271–286. doi:10.1057/jam.2012.9