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

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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
References in periodicals archive ?
Getlink said it had been "penalised by an unfavourable calendar effect with later holiday departures".
Looking at the components of Bundesbank's expectations for the future GDP growth, the figure for 2020 contains a so-called base effect of 0.4 percentage points (like a calendar effect).
However, if a calendar effect actually exists, for a short term, trading based on a monthly sample of income should yield astonishing income.
According to the company, sales during the month were negatively affected by a calendar effect of about 3% points, due to less trading days compared with the corresponding period previous year.
In January, demand for passenger cars in the European Union grew 7.1% compared to January last year - benefitting from a positive calendar effect. New car registrations amounted to 1,253,877 units during the first month of the year, reported the European Automobile Manufacturers Association.
If there is an existence of any seasonal or calendar effect in the stock prices, then it leads to abnormal profits and investors capitalize on such opportunities.
Occasionally, a calendar effect can distort CES estimates.
One year earlier, in 1996, new procedures to address the 4-week/ 5-week calendar effect in the payroll employment data had been introduced.
The passenger business was particularly impacted by the calendar effect of Easter, which fell in March last year.
In this study we test for the existence of calendar effect in Nigerian stock market returns.
The calendar effect is very important, which suggests that the coverage is not fully funded.