Are Seasonal Anomalies Real? A Ninety-Year Perspective

@article{Lakonishok1988AreSA,
  title={Are Seasonal Anomalies Real? A Ninety-Year Perspective},
  author={Josef Lakonishok and Seymour Smidt},
  journal={Review of Financial Studies},
  year={1988},
  volume={1},
  pages={403-425}
}
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 firm size and rate of return,1 these include seasonal regularities related to the time of the day [Harris (1986)], the day of the week [see Ball and Bowers (1986), Cross (1973), French (1980), Gibbons and Hess (1981), Jaffe and Westerfield (1985), Keim and Stambaugh (1984), and Lakonishok and Levi… 

Tables from this paper

Measuring seasonalities in commodity markets and the half‐month effect

ecently, an extensive amount of research has been devoted to the issue of emR pirical anomalies in financial markets. In time series data involving individual issues and/or market indices,

Adaptive Market Efficiency: Review of Recent Empirical Evidence on the Persistence of Stock Market Anomalies

The field of Finance has undergone an interesting transformation. In the 1970s, Eugene Fama developed conceptual stages of market efficiency (Fama, 1970), that all information is generally

Seasonal Anomalies

This chapter is a survey of seasonal anomalies. Ziemba has been involved in the re- search and trading of such anomalies as the January turn-of-the-year effect since 1982. His research plus that of

Monthly seasonality of the returns and volatility of the IBEX-35 index and its futures contract

In recent years, many empirical studies show calendar anomalies in the returns on the securities. This empirical regularity appears in different international markets (Agrawal and Tandon, 1994).

On the disappearance of calendar anomalies: have the currency markets become efficient?

Purpose This study aims to examine the presence of the day-of-the-week (DOW), January and turn-of-month (TOM) effect in 20 currency pairs against the US dollar, from January, 1995 to December, 2014.

The decline and fall of seasonality in the Australian stock exchange, 1958-2005

This paper examines calendar effects in Australian daily stock returns over the forty-seven years from 6 January 1958 to 30 December 2005. Three principal calendar effects – day-of-the-week,

Return autocorrelation anomalies and the importance of non-trading periods: evidence from Spain, France and Germany

In the last decades an increasing number of papers have investigated stock market anomalies, reporting strong evidence that daily stock returns show empirical regularities that are difficult to

The Decline of Calendar Seasonality in the Australian Stock Exchange, 1958-2005

This paper examines calendar effects in Australian daily stock returns from 6 January 1958 to 30 December 2005. Three calendar effects - day-of-the-week, turn-of-the-month and month-of-the-year - are

The decline of calendar seasonality in the Australian stock exchange, 1958–2005

This paper examines calendar effects in Australian daily stock returns from 6 January 1958 to 30 December 2005. Three calendar effects—day-of-the-week, turn-of-the-month and month-of-the-year—are
...

References

SHOWING 1-10 OF 33 REFERENCES

The Week-End Effect in Common Stock Returns: The International Evidence

This paper examines the daily stock market returns for four foreign countries. We find a so-called "week-end effect" in each country. In addition, the lowest mean returns for the Japanese and

A Further Investigation of the Weekend Effect in Stock Returns

This study uses a longer time period and additional stocks to further investigate the weekend effect. We find consistently negative Monday returns (1) for the S & P Composite as early as 1928, (2)

Can Tax-Loss Selling Explain the January Effect? A Note

THE JANUARY EFFECT REMAINS an unexplained phenomenon in financial economics. That the month of January has consistently shown higher mean stock returns than other months has been documented by

Weekend Effects on Stock Returns: A Comment

IN A RECENT NOTE in this Journal, Lakonishok and Levi [3] (hereafter LL) offer a partial explanation for the intraweek pattern of daily stock market returns observed by French [1], Gibbons and Hess

Weekend Effects on Stock Returns: A Note

SOME RESEARCHERS HAVE APPARENTLY been surprised to discover that the distribution of stock returns depends on the day of the week.' Kenneth French [3], for example, in testing whether daily stock

Volume and turn-of-the-year behavior

Portfolio Rebalancing and the Turn‐of‐the‐Year Effect

This paper finds that, for the 1935-86 period, the market's risk-return relation does not have a January seasonal. The findings differ from those of other studies due to the use of value-weighted,

Personal Income Taxes and the January Effect: Small Firm Stock Returns Before the War Revenue Act of 1917: A Note

This paper tests the tax explanation of the January effect by examining small firm stock returns before the War Revenue Act of 1917. No evidence of a turn-of-the-year effect is found. This paper also

Stock returns and the weekend effect