An anatomy of calendar effects


This article studies the interaction and profitability of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month (TOM) effect, weekend effect and holiday effect. We find that Halloween and TOM are the strongest and most profitable effects. The equity premium over the sample 1963–2008 is 7.2 per cent if there is a Halloween or TOM effect, and −2.8 per cent in all other cases. An investment strategy based on these two effects gives higher net risk-adjusted returns than a passive buy-and-hold strategy. These findings are robust across different sample periods, market segments and international stock markets.

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  1. 1.

    We leave some other, in our view less well documented and accepted, calendar effects outside the scope of this research. For example, Kolb and Rodriguez (1987) document the Friday 13 effect.

  2. 2.

    The market data are based on individual stock return data from the Center for Research in Securities Prices and are obtained from the online data library of Kenneth French.

  3. 3.

    The literature on calendar effects is not always unanimous on the definition of the effects. For example, some authors have used below-average Monday returns in combination with above-average Friday returns as the weekend effect.

  4. 4.

    This list of holidays is the same as Tsiakas (2010). For a full list of observed holidays for NYSE, see Note that we do not consider the following non-trading days as holidays: Funerals/mourning (25 November 1963 [J. Kennedy], 9 April 1968 [M. King], 31 March 1969 [D. Eisenhower], 28 December 1972 [H. Truman], 25 January 1975 [L. Johnson], 27 April 1994 [R. Nixon], 11 June 2004 [R. Reagan], 2 January 2007 [G. Ford]); weather (10 February 1969 [snow], 27 September 1985 [hurricane Gloria]), the first lunar landing (21 July 1969), the New York City blackout (14 July 1977), the World Trade Center terrorist attacks (11 September 2001) or the Wednesday closings during the paper crisis of the second half of 1968.

  5. 5.

    For example, CXO advisory, a research investment blog, employs a trading calendar, which combines several calendar effects: Further, a list of links to research papers on this topic is included on this Website.

  6. 6.

    Note that this claim is refuted by, for example, Lucey and Zhao (2008).

  7. 7.

    This also follows from a correlation analysis on the returns from the five calendar effects. The average correlation is low with 0.20, and the maximum correlation is between the Halloween and January effect, with 0.41.

  8. 8.

    International evidence for the TOM effect is provided by McConnell and Xu (2008) and Kunkel et al (2003).


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Correspondence to Laurens Swinkels.

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Swinkels, L., van Vliet, P. An anatomy of calendar effects. J Asset Manag 13, 271–286 (2012).

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  • calendar effects
  • Halloween indicator
  • holiday effect
  • January effect
  • turn-of-the-month effect
  • weekend effect