An anatomy of calendar effects
Journal of Asset Management , Volume 13 - Issue 4 p. 271- 286
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.
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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