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Januaries, Mays, and Lunar Cycles: Stock Selection with Seasonal Anomalies

  • Adam Zaremba
  • Jacob “Koby” Shemer
Chapter

Abstract

Seeking seasonal regularities in the stock market is as old as the art of investment analysis. January seasonality and “sell in May and go away” are patterns known to any stock market investor. While popular, they still remain extremely controversial. For a long time, the seasonal anomalies belonged to the most “magical” tools of technical analysis. Nonetheless, the recent research has completely changed the picture as many of the seasonal anomalies could be captured by the so-called cross-sectional seasonality—the foundation of all seasonal anomalies. In short, the cross-sectional seasonality is the tendency of the stocks which in the same calendar month in the past performed well (poorly) on average to continue to outperform (underperform) in the following year. Following these considerations in this chapter, the authors reviewed the seasonal anomalies and re-examined the performance of strategies based on cross-sectional seasonality in 24 international stock markets.

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Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Adam Zaremba
    • 1
  • Jacob “Koby” Shemer
    • 2
  1. 1.Poznan University of Economics and BusinessPoznanPoland
  2. 2.AlphaBetaTel AvivIsrael

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