An anatomy of calendar effects

被引：20
作者：
Laurens Swinkels
Pim van Vliet
机构：
[1] Erasmus University, Rotterdam
来源：
Journal of Asset Management | 2012年 / 13卷 / 4期
关键词：
calendar effects; Halloween indicator; holiday effect; January effect; turn-ofthe-month effect; weekend effect;
D O I：
10.1057/jam.2012.9
中图分类号：
学科分类号：
摘要：
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. © 2012 Macmillan Publishers Ltd.
引用
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页码：271 / 286
页数：15
相关论文
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