Exploiting Superstition in the Investment Strategies: Case of Friday the 13th Effect

8 Pages Posted: 9 Dec 2018 Last revised: 31 May 2019

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: September 13, 2018

Abstract

This paper approaches the possibilities of building investment strategies based on the calendar anomaly known as Friday the 13th effect. In this investigation we employ, for the period January 2010-August 2018, the closing values of three indexes from the United States capital market. We found no evidence for the traditional forms of Friday the 13th effect, but the results indicate the presence of some related forms of this calendar anomaly. The returns on two trading days before Friday the 13th tend to be lower than the average, while the returns on one or two trading days after were higher than the average. The investment strategies based on these patterns could be, in some circumstances, profitable.

Keywords: Friday the 13th effect, stock returns, investment strategies

JEL Classification: G40, G14, G10

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona, Exploiting Superstition in the Investment Strategies: Case of Friday the 13th Effect (September 13, 2018). Available at SSRN: https://ssrn.com/abstract=3285485 or http://dx.doi.org/10.2139/ssrn.3285485

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
28
Abstract Views
194
PlumX Metrics