Download this Paper Open PDF in Browser

An Anatomy of Calendar Effects

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

24 Pages Posted: 24 Apr 2010 Last revised: 7 Oct 2012

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Institutional Asset Management

Pim van Vliet

Robeco Asset Management - Quantitative Strategies

Date Written: July 18, 2010

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.

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

JEL Classification: G11, G12, G14

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: https://ssrn.com/abstract=1593770 or http://dx.doi.org/10.2139/ssrn.1593770

Laurens Swinkels (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Robeco Institutional Asset Management ( email )

Rotterdam, 3000
Netherlands
+31 10 224 2470 (Phone)
+31 10 224 2110 (Fax)

Pim Van Vliet

Robeco Asset Management - Quantitative Strategies ( email )

Rotterdam, 3011 AG
Netherlands

Paper statistics

Downloads
2,339
Rank
4,294
Abstract Views
9,413