Seasonality Trading Research Papers

Here are the best collection of Seasonality Trading Research Papers.


The January Effect

Number of pages: 17 Posted: 02 Nov 2005
Mark Haug and Mark Hirschey
The University of Kansas and University of Kansas

This paper uses broad samples of value-weighted and equally-weighted returns to document the fact that abnormally high rates of return on small-cap stocks continued to be observed during the month of January. 


An Anatomy of Calendar Effects

Number of pages: 24 
Posted: 24 Apr 2010 
Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments

This paper studies the interaction of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month effect, weekend effect, and holiday effect.This paper studies the interaction of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month effect, weekend effect, and holiday effect.

Equity Returns at the Turn of the Month

Number of pages: 50 
Posted: 18 Jul 2006
Wei Xu and John J. McConnell
HSBC School of Business, Peking University, and Purdue University

According to the turn-of-the-month effect, equity returns over the interval beginning the last trading day of the month and ending three days later are significantly higher than over other days.


Testing the Significance of Calendar Effects

Number of pages: 30
Posted: 26 May 2003
Peter Reinhard HansenAsger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill – Department of Economics, Aarhus University – School of Business and Social Sciences and North Carolina State University – Department of Economics

This paper studies tests of calendar effects in equity returns. It is necessary to control for all possible calendar effects to avoid spurious results. The authors contribute to the calendar effects literature and its significance with a test for calendar-specific anomalies that conditions on the nuisance of possible calendar effects


‘Sell in May and Go Away’ Just Won’t Go Away

Number of pages: 20 
Posted: 23 Jul 2012 Last Revised: 18 Mar 2013
Sandro C. AndradeVidhi Chhaochharia and Michael E. Fuerst
University of Miami – Department of Finance, University of Miami – Department of Finance and University of Miami – Department of Finance

Reducing equity exposure starting in May and levering it up starting in November persists as a profitable market timing strategy. On average, stock returns are about 10 percentage points higher in November-April half-year periods than in May-October half-year periods. We also find the Sell in May effect is pervasive in financial markets.


The MOM-TOM Effect: Detecting the Market Impact of CTA Trading

Number of pages: 12
Posted: 30 Oct 2014
Otto Van Hemert
Man AHL

we explore whether the trend-following trading style employed by many CTAs has become crowded. Explicitly, we test for market impact using the following hypothesis: around the turn of the month (TOM), trend-following (MOM) strategies digest sizeable inflows, causing the managers to trade up their existing positions, thereby pushing prices temporarily in their favor. 


Return Seasonalities

Journal of Finance, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 13-15
Number of pages: 49
Posted: 25 Feb 2013 Last Revised: 12 Dec 2015
Matti KeloharjuJuhani T. Linnainmaa and Peter M. Nyberg
Aalto University – School of Business, Dartmouth College – Tuck School of Business and Aalto University

A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency.

*The Information is provided solely for informational or general educational purposes and should not be construed as an offer to sell or the solicitation of an offer to buy securities or to provide investment advise The opinions and analysis included herein are based on sources believed to be reliable, but no representation or warranty, express or implied is made as to their accuracy, completeness, timeliness, or correctness. All the information contained herein should be verified independently.

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