An anatomy of calendar effects

Laurens Swinkels and Pim van Vliet

Journal of Asset Management, 2012, vol. 13, issue 4, No 4, 286 pages

Abstract: Abstract This article studies the interaction and profitability of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month (TOM) effect, weekend effect and holiday effect. We find that Halloween and TOM are the strongest and most profitable effects. The equity premium over the sample 1963–2008 is 7.2 per cent if there is a Halloween or TOM effect, and −2.8 per cent in all other cases. An investment strategy based on these two effects gives higher net risk-adjusted returns than a passive buy-and-hold strategy. These findings are robust across different sample periods, market segments and international stock markets.

Keywords: calendar effects; Halloween indicator; holiday effect; January effect; turn-of-the-month effect; weekend effect (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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DOI: 10.1057/jam.2012.9

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