Download this Paper Open PDF in Browser

Seasonal Anomalies

71 Pages Posted: 13 Feb 2011  

William T. Ziemba

University of British Columbia (UBC) - Sauder School of Business

Constantine S. Dzhabarov

Alpha Lake Financial Analytics Corp

Date Written: February 12, 2011

Abstract

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 other academics plus the very useful practitioner research of Yale Hirsch’s Stock Trader’s Almanac starting in 1972 is reviewed. (We academics reference Hirsch but the Hirsches operate in a closed economy, not referencing others.) The discussion begins with an assessment of why the seasonal anomalies are so controversial but valuable and discusses some survey papers and books. Then beginning with the seminal anomaly, the January small firm effect, we discuss various other anomalies and their use in strategies including the construction of seasonality calendars that rank the various trading days of the year. The treatment is selective not exhaustive of this huge topic and does not cover all topics such as weekend and daily effects.

Keywords: Seasonal Anomalies, January Effect, January Barometer, President And Election Effects

JEL Classification: G12, G15

Suggested Citation

Ziemba, William T. and Dzhabarov, Constantine S., Seasonal Anomalies (February 12, 2011). Available at SSRN: https://ssrn.com/abstract=1760610 or http://dx.doi.org/10.2139/ssrn.1760610

William T. Ziemba (Contact Author)

University of British Columbia (UBC) - Sauder School of Business ( email )

2053 Main Mall
Vancouver, BC V6T 1Z2
Canada
604-261-1343 (Phone)
604-263-9572 (Fax)

HOME PAGE: http://williamtziemba.com

Constantine S. Dzhabarov

Alpha Lake Financial Analytics Corp ( email )

Vancouver, British Columbia
Canada
604-222-5539 (Phone)

Paper statistics

Downloads
1,216
Rank
12,849
Abstract Views
4,445