Abstract

http://ssrn.com/abstract=1593770
 
 

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An Anatomy of Calendar Effects


Laurens Swinkels


Erasmus University Rotterdam (EUR); Norges Bank Investment Management (NBIM)

Pim Van Vliet


Robeco Asset Management - Quantitative Strategies

July 18, 2010

Journal of Asset Management 13(4), 2012, pp. 271-286

Abstract:     
This paper studies the interaction of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month effect, weekend effect and holiday effect. We find that Halloween and turn-of-the month (TOM) are the strongest effects fully diminishing the other three effects to zero. The equity premium over the sample 1963-2008 is 7.2% if there is a Halloween or TOM effect, and -2.8% in all other cases. These findings are robust with respect to transactions costs, across different samples, market segments, and international stock markets. Our empirical research narrows down the number of calendar effects from five to two, leading to a more powerful and puzzling summary of seasonal effects.

Number of Pages in PDF File: 24

Keywords: Calendar effects, Halloween indicator, Holiday effect, January effect, Seasonal patterns, Turn-of-the-month effect, Weekend effect

JEL Classification: G11, G12, G14

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Date posted: April 24, 2010 ; Last revised: October 7, 2012

Suggested Citation

Swinkels, Laurens and van Vliet, Pim, An Anatomy of Calendar Effects (July 18, 2010). Journal of Asset Management 13(4), 2012, pp. 271-286. Available at SSRN: http://ssrn.com/abstract=1593770 or http://dx.doi.org/10.2139/ssrn.1593770

Contact Information

Laurentius (Laurens) Adrianus Petrus Swinkels (Contact Author)
Erasmus University Rotterdam (EUR)
Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands
Norges Bank Investment Management (NBIM) ( email )
Bankplassen 2
P.O. Box 1179 Sentrum
Oslo, NO-0107
Norway
Pim Van Vliet
Robeco Asset Management - Quantitative Strategies ( email )
Rotterdam, 3011 AG
Netherlands
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