An Anatomy of Calendar Effects
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
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, G14Accepted Paper Series
Date posted: April 24, 2010 ; Last revised: October 7, 2012
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