Seasonal, Size and Value Anomalies

38 Pages Posted: 22 Aug 2005  

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; New Zealand Institute of Advanced Study

Abdullah Mamun

University of Saskatchewan - Department of Finance and Management Science

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Date Written: August 2005

Abstract

Recent international evidence shows that in many stock markets, general index returns are significantly higher during winter months than during summer months. We study the interaction between this anomaly - known as the Halloween effect - and the January effect and other well-known anomalous findings on portfolios formed on Size, Dividend Yield, Book to Market ratios, Earnings Price ratios and Cash Flow Price ratios in equally but also value weighted portfolios for the US market. Our main findings are that contrary to the January effect, the Halloween effect seems a market wide phenomenon unrelated to these well-known anomalies. All portfolios in our study show higher average winter returns than summer returns. In most portfolios this difference is statistically and economically significant. We confirm recent results which suggest that the January effect plays an important role not only in explaining the small firm effect but also - together with size - in explaining the Book to Market ratio anomaly. In addition, we find in a similar fashion that controlling for the January effect and using value weighted portfolio returns substantially reduces the Earnings to Price, Cash Flow to Price and Dividend Yield effects.

Keywords: Halloween Effect, Sell in May, January effect, Book to Market, Value, Growth

JEL Classification: G14, G15

Suggested Citation

Jacobsen, Ben and Mamun, Abdullah and Visaltanachoti, Nuttawat, Seasonal, Size and Value Anomalies (August 2005). Available at SSRN: https://ssrn.com/abstract=784186 or http://dx.doi.org/10.2139/ssrn.784186

Ben Jacobsen (Contact Author)

Tilburg University - TIAS School for Business and Society ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB
Netherlands

New Zealand Institute of Advanced Study ( email )

Auckland
New Zealand

Abdullah Mamun

University of Saskatchewan - Department of Finance and Management Science ( email )

College of Commerce
Saskatoon, Saskatchewan S7N 5A7
Canada
306 966 1862 (Phone)
306 966 2515 (Fax)

HOME PAGE: http://www.commerce.usask.ca/faculty/mamun/

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

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