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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.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
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.
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