Are Monthly Seasonals Real? A Three Century Perspective

@article{Zhang2012AreMS,
  title={Are Monthly Seasonals Real? A Three Century Perspective},
  author={Cherry Yi Zhang and Ben Jacobsen},
  journal={American Finance Association Meetings (AFA)},
  year={2012}
}
  • C. Zhang, B. Jacobsen
  • Published 6 September 2012
  • Environmental Science
  • American Finance Association Meetings (AFA)
Over 300 years of UK stock returns reveal that well-known monthly seasonals are sample specific. For instance, the January effect only emerges around 1830. Most months have had their 50 years of fame, showing the importance of long time series to safeguard against sample selection bias, noise, and data snooping. The overall conclusion is that monthly seasonals might simply be in the eye of the beholder. Copyright 2013, Oxford University Press. 
“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets
Described in Bauman and Jacobsen (2002) stock market anomaly still remains unexplained.  In long time series regressions and wide geographical spread research “Halloween effect” is significant on 19
Rise and Fall of Calendar Anomalies over a Century
In this paper, we conduct a comprehensive investigation of calendar anomaly evolution in the US stock market (given by the Dow Jones Industrial Average) for the 1900 to 2018 period. We employ various
Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence
We perform the longest study of long-run reversal in commodity returns ever conducted. Using a unique dataset of prices of 52 agricultural, industrial, and energy commodities, we examine the price
'Sell Not Only in May'. Seasonal Effects in Emerging and Developed Markets
Described in Bauman and Jacobsen (2002) stock market anomaly still remains unexplained. In long time series and wide geographical spread research “Halloween effect” is significant on 19 amongst 73
Macroeconomics Matter: Leading Economic Indicators and the Cross-Section of Global Stock Returns
Leading economic indicators assist in forecasting future business conditions, but can they predict aggregate stock returns? To answer this, we examine six decades of data from 39 countries. Past
Calendar anomaly: unique evidence from the Indian stock market
Purpose - The purpose of this paper is to ascertain the monthly seasonality in the Indian stock market after taking into consideration the market features of leptokurtosis, volatility clustering and
Januaries, Mays, and Lunar Cycles: Stock Selection with Seasonal Anomalies
Seeking seasonal regularities in the stock market is as old as the art of investment analysis. January seasonality and “sell in May and go away” are patterns known to any stock market investor. While
Does the strength of capital market anomalies exhibit seasonal patterns?
In a recent study, Fiore and Saha (Financ Rev 50(2), 257–273 2015) present the interesting finding that the beta anomaly in US stocks appears only in summer months. Using a novel dataset of arbitrage
Seasonal Effects and Other Anomalies
We revisit a series of popular anomalies: seasonal, announcement and momentum. We comment on statistical significance and persistence of these effects and propose useful investment strategies to
...
...

References

SHOWING 1-10 OF 120 REFERENCES
Patterns in Three Centuries of Stock Market Prices
This article applies autoregression and rescaled range statistics to very long stock market series to test the hypothesis that long-term temporal dependencies are present in financial data. For the
Stock market seasonality: International Evidence
The incredible January effect : the stock market's unsolved mystery
Based on historical research, the authors show readers that certain kinds of securities have been producing unaccountably high returns during the first month of the year for decades. The Incredible
A Longer Look at Dividend Yields
This article re-examines the evidence on the ability of dividend yields to predict long-horizon stock returns. We use two new series beginning in 1871, a monthly series for the United States, and an
High Stock Returns before Holidays: Existence and Evidence on Possible Causes
On the trading day prior to holidays, stocks advance with disproportionate frequency and show high mean returns averaging nine to fourteen times the mean return for the remaining days of the year.
Are Seasonal Anomalies Real? A Ninety-Year Perspective
In recent years there has been a proliferation of empirical studies documenting unexpected or anomalous regularities in security rates of return. In addition to the widely studied relation between
Rule Britannia! British Stock Market Returns, 1825-1870
This article presents a new series of monthly equity returns for the British stock market for the period 1825-1870. In addition to calculating capital appreciation and dividend yields, the article
The Other January Effect
"Streetlore" has touted the market return in January as a predictor of market returns for the remainder of the year since at least 1973. We systematically examine the predictive power of January
...
...