Calendar effect


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Calendar effect

Describes the tendency of stocks to perform differently at different times. For example, a number of researchers have documented that historically, returns tend to be higher in January compared to other months (especially February). Others have documented returns patterns across days of the week and within the day. Some of these patterns are found in volume and volatility as well as returns.

Calendar Effect

The extent to which holding a stock at a particular time helps or harms returns. That is, some analysts believe that stocks perform better or worse on given days, months, or even years. Analysts disagree on which, if any, calendar effects are "real," but they can have an impact on the psychological outlook of investors, which can help or harm returns. For example, some investors believe that October is a bad month to buy because many of the great stock market crashes took place in October. Whether or not there is any evidence for this, it may discourage enough investors from buying that it actually will harm stock prices. Major examples of calendar effects include the January effect and the presidential election cycle theory.
References in periodicals archive ?
This projection is due to the calendar effect of one fewer day in the holiday period and economic growth that is not robust enough to offset the impact of the sequester and the effect of the end of the payroll tax cut on American families.
The passenger business was particularly impacted by the calendar effect of Easter, which fell in March last year.
The calendar effect is very important, which suggests that the coverage is not fully funded.
Since the calendar effects do not follow the normal distribution (see Table 1), we standardize each calendar effect in a robust way estimating the robust location and the robust scale parameters using the Least Median of Squares (LMS) method proposed by Rousseeuw and Leroy (1987).
2%, aided by the calendar effect of an early Easter, which boosted growth rates by approximately 2%.
However, the ministry added that the calendar effect of two so-called bridge days - days often taken off after public holidays that fall on a Thursday - may have exaggerated the size of the drop in output.
While these calendar effect anomalies have been extensively investigated in the literature and are generally documented in the context of developed and other emerging countries, the capital markets of the Gulf Cooperation Countries (GCC) have received limited attention.
Sales in April have mainly been affected by unfavorable weather but also by a very negative calendar effect.
The slump in the yoy growth rate was mainly attributable to the calendar effect.
We estimate the system with monthly dummies and Islamic calendar effect controls used in Riazuddin and Khan (2005).
Excluding this calendar effect, passenger traffic would have grown in March.