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...

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Bibliographic Details
Published in:Journal of asset management 2012-08, Vol.13 (4), p.271-286
Main Authors: Swinkels, Laurens, van Vliet, Pim
Format: Article
Language:English
Subjects:
Calendars
Economics and Finance
Equity
Finance
Financial Services
Halloween
Investigations
Investment policy
Original Article
Return on equity
Risk Management
Statistical significance
Studies
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Summary: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.
ISSN:1470-8272
1479-179X
DOI:10.1057/jam.2012.9