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...
Momentum Winners and Trading Calendar Updates
We have updated the Market Models summary as follows: Extended the Earnings Forecast through the end of 2012 based on an estimate of actual earnings for the fourth quarter of 2011. Extended regressions/rolled projections by one month based on data ava...
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...
Optimal Rebalancing Frequency/Months?
...evidence from simple tests on recent data of semiannual rebalancing of a 60-40 stocks-bonds portfolio suggests that it makes no difference which months an investor uses to rebalance.
January Barometer Over the Long Run
Does long term data support belief that “as goes January, so goes the rest of the year” (January is the barometer) for the the U.S. stock market? Could this conventional wisdom be an artifact of data snooping or a victim of market adaptatio...
Any Stock Market Anomalies Around 3-day Weekends?
...evidence from simple tests does not support a belief that investors/traders tend to exit the market before three-day weekends and re-enter after. There may be some tendency toward extra bullishness (bearishness) before (after) three-day weekends, bu...
VIX Calendar Effects [PREMIUM]
Does the S&P 500 implied volatility index (VIX) exhibit systematic behaviors by day of the week, month of the year, turn-of-the-month (TOTM) or options expiration (OE)? If so, are the behaviors exploitable? Using daily closing levels of VIX since J...
Continuation and Reversal Months?
Are some calendar months more likely to exhibit stock market continuation (momentum) or reversal than others? To check, we relate U.S. stock index returns for each calendar month to those for the preceding 12 month and the preceding six months. Using m...
January Effect Over the Long Run
Does long term data support belief in exceptionally strong performance by the U.S. stock market during the month of January? Could this conventional wisdom be an artifact of data snooping or a victim of market adaptation? Robert Shiller’s long ru...
Stock Market Performance by Intra-year Phase
The full-year Trading Calendar suggests that the U.S. stock market may have three phases over the calendar year, corresponding roughly to calendar year trading days 1-84 (January-April), 85-210 (May-October) and 211-252 (November-December). What are ty...
Stock Returns Around New Year’s Day
Does the New Year’s Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into stock returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the ...
