RT Journal Article
SR Electronic
T1 A New Predictability Pattern in the US Stock Market Returns
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP jpm.2022.1.437
DO 10.3905/jpm.2022.1.437
A1 Valeriy Zakamulin
YR 2022
UL https://pm-research.com/content/early/2022/11/18/jpm.2022.1.437.abstract
AB This article documents a new stock market anomaly that seems to have escaped the attention of both investment professionals and academics. For more than a century, the monthly market return has been predicted by the monthly market return at lag 5. This predictability is marketwide and is most evident in the returns of portfolios of large and growth stocks. The trading strategy incorporating this predictability yields superior performance that cannot be attributed to common risk factors. A closer investigation of the new anomaly reveals that not each calendar month possesses predictive ability. Therefore, there is a link between the new anomaly and calendar effects in stock returns.