Do Seasonal Anomalies Still Work?

Constantine Dzhabarov and William T. Ziemba

Chapter 7 in Great Investment Ideas, 2016, pp 125-145 from World Scientific Publishing Co. Pte. Ltd.

Abstract: We investigate whether or not traditional seasonal anomalies such as the January and monthly effects, the January barometer, sell-in-May-and-go-away, holiday and turn-of-the-month effects still exist in the turbulent markets of the early part of the 21st century. The evidence using futures data from 1993–2009 and 2004–2009 for small cap stocks measured by the Russell2000 index and large cap stocks measured by the S&P500 is that there is still value in these anomalies. The effects tend to be stronger for the small cap stocks. The results are useful for investors to tilt portfolios and speculators to trade the effects.

Keywords: Investment Management; Portfolio Theory and Practice; Great Investors; Stock Market Anomalies; Evaluation Theory; Portfolio Performance; Stock Market Performance (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2016
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