Are Seasonal Anomalies Real? A Ninety-Year Perspective

1988-10-01articleReview of Financial Studies1,179 citationsclosed

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

Abstract

This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays.

Citations in this library

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References

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1981Misspecification of capital asset pricing

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Cited by

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2002Beyond Greed and Fear

2003Efficient market hypothesis and forecasting

1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors