The Zodiac Calendar and Equity Factor Returns

China Accounting and Finance Review, Forthcoming

21 Pages Posted: 15 Jan 2016 Last revised: 18 Jul 2016

See all articles by Janice Phoeng

Janice Phoeng

Erasmus University Rotterdam (EUR)

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Asset Management - Quantitative Investing

Date Written: June 1, 2016

Abstract

We calculate the returns for four well-known equity factor returns, the market, size, value, and momentum, for each Zodiac calendar year from 1926 to 2015. We find that point estimates of average returns for each Zodiac sign can be substantially different. However, when we employ statistical tests, we do not find enough evidence to reject the null hypothesis of equal excess returns across Zodiac signs. For an investor with an equally-weighted portfolio in these four equity factors, the Year of the Rooster may seem particularly good and the Year of the Ox particularly poor, but also in this case the null hypothesis cannot be rejected. Hence, we conclude that investment strategies based on Zodiac signs are unlikely to generate superior returns.

Keywords: Calendar Effects, Factor investing, Stock market returns, Zodiac calendar

JEL Classification: G11, G12, G14

Suggested Citation

Phoeng, Janice and Swinkels, Laurens, The Zodiac Calendar and Equity Factor Returns (June 1, 2016). China Accounting and Finance Review, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2610897 or http://dx.doi.org/10.2139/ssrn.2610897

Janice Phoeng

Erasmus University Rotterdam (EUR) ( email )

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

Laurens Swinkels (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

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

Robeco Asset Management - Quantitative Investing ( email )

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

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