Stock Returns Around Memorial Day
...best guess is that any anomalous U.S. stock market behavior around Memorial Day is slight strength one trading day after the holiday, along with extra volatility that day.
Kaeppel’s Sector Seasonality Strategy
A reader suggested looking at the strategy described in “Kaeppel’s Corner: Sector Seasonality” and updated in “Kaeppel’s Corner: Get Me Back, Clarence”. The steps of this calendar-based sector strategy are: Buy Fidel...
Simple Tests of Sy Harding’s Seasonal Timing Strategy
Several readers have inquired about the performance of Sy Harding’s Street Smart Report Online, which includes the Seasonal Timing Strategy. This strategy combines “the market’s best average calendar entry [October 16] and exit [April...
Stock Market and the National Election Cycle [PREMIUM]
Many stock market experts cite the year (1, 2, 3 or 4) of the U.S. presidential term cycle as a useful indicator of U.S. stock market returns. Game theory suggests that presidents deliver bad news immediately after being elected and do everything in th...
Models, Momentum Winners and Trading Calendar Updates
We have updated the Market Models summary as follows: Incorporated estimated Standard & Poor’s earnings results for the first quarter of 2012 (revision likely). Extended regressions/rolled projections by one month based on data available thr...
Monthly Returns During Presidential Election Years
Do the hopes and fears of presidential elections in the U.S. affect the “normal” seasonal variation in monthly stock market returns? To check, we compare average returns and volatilities (standard deviations of returns) by calendar month fo...
Testing Earnings Season (Alcoa to Wal-Mart) Trading Strategies
...evidence from simple tests does not support a belief that going to cash or shorting the broad stock market during the earnings off-season reliably beats, or even matches, buy-and-hold. It does support a belief that the market tends to be relatively ...
VIX Day-of-the-Week Effects [PREMIUM]
Does the S&P 500 implied volatility index (VIX) exhibit systematic behaviors by day of the week? In their February 2012 paper entitled “Day of the Week Effect on the VIX: A Parsimonious Representation”, Maria Gonzalez-Perez and David ...
Turn of the Year and Size in U.S. Equities
The turn of the year (December-January) for the U.S. stock market reportedly includes the Santa Claus rally and the January effect. Some research indicates the latter is dead (and was driven essentially by small-capitalization stocks when alive). How...
Stock Market and the Super Bowl
Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League’s Super Bowl. Is the week before the Super Bowl especially distracting an...
Gold Seasonality Drivers [PREMIUM]
Does seasonal fear of stock market weakness or demand for jewelry drive gold prices? In his January 2012 paper entitled “The Seasonality of Gold – Jewelery Demand and Investor Behavior”, Dirk Baur examines calendar month seasonality o...
Value Premium Concentration in January [PREMIUM]
Is the value premium seasonal? In their 2012 paper entitled “Is the Value Effect Seasonal? Evidence from Global Equity Markets”, Praveen Kumar Das and Uma Rao investigate the intersection of the January effect and the value premium in stoc...
