Seasonal Anomalies

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