Abstract
We calculate the returns for four well-known equity return factors—market, size, value, and momentum—for each zodiac calendar year from 1927 to 2015. We find that the point estimates of average returns for each zodiac sign can be substantially different. However, when we employ statistical tests, we do not find enough evidence to reject the null hypothesis of equal excess returns across zodiac signs. For an investor with an equally weighted portfolio in these four equity factors, the Year of the Rooster may seem particularly good and the Year of the Ox particularly poor, but also in this case the null hypothesis cannot be rejected. Hence, we conclude that investment strategies based on zodiac signs are unlikely to generate superior returns.
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© The Author(s) 2016. This article is published with open access by The Hong Kong Polytechnic University
Janice Phoeng, Erasmus School of Economics, Erasmus University Rotterdam. Laurens Swinkels, Erasmus School of Economics, Erasmus University Rotterdam and Erasmus Research Institute of Management; email: lswinkels@ese.eur.nl. Swinkels would also like to disclose he is affiliated with Norges Bank. We would like to thank an anonymous reviewer for his valuable feedback.
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Phoeng, J., Swinkels, L. The Zodiac Calendar and Equity Factor Returns. China Account Financ Rev 18, 9 (2016). https://doi.org/10.7603/s40570-016-0009-2
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DOI: https://doi.org/10.7603/s40570-016-0009-2