Introduction — Calendar Anomalies

Constantine S. Dzhabarov and William T. Ziemba
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Constantine S. Dzhabarov: Alpha Lake Financial Analytics Corp, Canada
William T. Ziemba: University of British Columbia, Canada and ICMA Centre, University of Reading, UK

Chapter 1 in Calendar Anomalies and Arbitrage, 2012, pp 1-81 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis chapter is a survey of seasonal anomalies. Ziemba has been involved in the research and trading of such anomalies as the January turn-of-the-year effect since 1982. His research plus that of other academics plus the very useful practitioner research of Yale Hirsch’s Stock Trader’s Almanac starting in 1972 is reviewed. (We academics reference Hirsch but the Hirsches operate in a closed economy, not referencing others.) The discussion begins with an assessment of why the seasonal anomalies are so controversial but valuable and discusses some survey papers and books. Then beginning with the seminal anomaly, the January small firm effect, we discuss various other anomalies and their use in strategies including the construction of seasonality calendars that rank the various trading days of the year.

Keywords: Calendar Anomalies; Arbitrage; Stock Prices; Stock Returns; US Stock Market; Futures Markets; Betting; Trading Strategies; Sports Market; Lottery Market; Capital Growth Theory; Semi-Strong Market Efficiency; Speculative Investments; Index Futures; Factor Models Based on Fundamental Anomalies; Worldwide Stock Market Strategies (search for similar items in EconPapers)
Date: 2012
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