Do Seasonal Anomalies Still Work?

Abstract

Dzhabarov and Ziemba investigate whether traditional seasonal anomalies, such as the January effect,monthly effect, January barometer, sell-in-May-and-go-away phenomenon, holiday effect, and turn-of-the-month effect, still exist in the turbulent markets of the early part of the 21st century.The evidence indicates that there is still value in these anomalies. In their study, the authors use futures data from 1993 to 2009 and from 2004 to 2009 for small-cap stocks measured by the Russell 2000 Index and for large-cap stocks measured by the S&P 500 Index.As was true in the 1990s, the effects tend to be stronger in small-cap stocks.The results are useful for investors who wish to tilt portfolios and for speculators who wish to trade the effects.

TOPICS: Theory, in markets, factor-based models