...best guess is that any anomalous U.S. stock market behavior around Labor Day is strength one trading day before or one trading day after the holiday, with high volatility on the latter day, but noise generally dominates.
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Posts Tagged ‘ Calendar Effects ’
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Stock Returns Around Labor Day
Optimal Months for Semiannual Rebalancing?
...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.
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3-Cycle Prediction Engine?
...evidence from simple tests of a forecast that straightforwardly combines historical annual seasonal, Presidential term and decennial cycles in stock market behavior does not support a belief that these frequencies usefully predict stock market returns at a monthly horizon.
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ETF Style by Calendar Month
...evidence from very limited data suggests that there may be some systematic differences in seasonality among size and value/growth ETFs, but the combination of small sample size and modest magnitude of differences does not support confident belief.
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Sector Performance by Calendar Month
...calendar effects may vary across sector ETFs, but with only about 11.5 years of data, these results offer only weak hints for calendar-based sector rotation.
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Stock Market Behavior Around Mid-year and 4th of July
...best guess for the U.S. stock market is a positive bias focused at the mid-year point and no reliable bias around the 4th of July holiday.
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The Lure of Trading at the Open?
...evidence from a fairly large recent sample of U.S. stocks indicates that traders may be able to suppress trading friction by systematically executing sales at the open and buys later in the trading day.
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End-of-Quarter Effect
...evidence suggests some systematic strength the first few days after ends of quarters bracketed by weakness or doldrums before and after, with effects small compared to daily return variability. The fourth quarter pattern is the strongest and most distinctive.
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Lunar Cycle and Stock Returns
...evidence from simple tests indicates that the U.S. stock market since 1990 performs better on average around new moons than full moons, and during waxing moons than waning moons. However, the levels of relative outperformance are small compared to market variability, so trading these differences is very risky.
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A Daily Stock Return Cycle
...evidence suggests that frequent, low-cost traders may be able to offset part of trading frictions by exploiting daily patterns in stock returns.
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