Abstract

http://ssrn.com/abstract=784186
 
 

References (17)



 
 

Citations (9)



 


 



Seasonal, Size and Value Anomalies


Ben Jacobsen


University of Edinburgh - Business School; New Zealand Institute of Advanced Study

Abdullah Mamun


University of Saskatchewan - Department of Finance and Management Science

Nuttawat Visaltanachoti


Massey University - Department of Economics and Finance

August 2005


Abstract:     
Recent international evidence shows that in many stock markets, general index returns are significantly higher during winter months than during summer months. We study the interaction between this anomaly - known as the Halloween effect - and the January effect and other well-known anomalous findings on portfolios formed on Size, Dividend Yield, Book to Market ratios, Earnings Price ratios and Cash Flow Price ratios in equally but also value weighted portfolios for the US market. Our main findings are that contrary to the January effect, the Halloween effect seems a market wide phenomenon unrelated to these well-known anomalies. All portfolios in our study show higher average winter returns than summer returns. In most portfolios this difference is statistically and economically significant. We confirm recent results which suggest that the January effect plays an important role not only in explaining the small firm effect but also - together with size - in explaining the Book to Market ratio anomaly. In addition, we find in a similar fashion that controlling for the January effect and using value weighted portfolio returns substantially reduces the Earnings to Price, Cash Flow to Price and Dividend Yield effects.

Number of Pages in PDF File: 38

Keywords: Halloween Effect, Sell in May, January effect, Book to Market, Value, Growth

JEL Classification: G14, G15

working papers series





Download This Paper

Date posted: August 22, 2005  

Suggested Citation

Jacobsen, Ben and Mamun, Abdullah and Visaltanachoti, Nuttawat, Seasonal, Size and Value Anomalies (August 2005). Available at SSRN: http://ssrn.com/abstract=784186 or http://dx.doi.org/10.2139/ssrn.784186

Contact Information

Ben Jacobsen (Contact Author)
University of Edinburgh - Business School ( email )
University of Edinburgh
29 Buccleuch Place
Edinburgh, Scotland EH8 9JS
UNITED KINGDOM
New Zealand Institute of Advanced Study ( email )
Auckland
New Zealand
Abdullah Mamun
University of Saskatchewan - Department of Finance and Management Science ( email )
College of Commerce
Saskatoon, Saskatchewan S7N 5A7
Canada
306 966 1862 (Phone)
306 966 2515 (Fax)
HOME PAGE: http://www.commerce.usask.ca/faculty/mamun/
Nuttawat Visaltanachoti
Massey University - Department of Economics and Finance ( email )
School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (9460) (Phone)
64 9 441 8177 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 6,552
Downloads: 1,491
Download Rank: 5,932
References:  17
Citations:  9

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.344 seconds