AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY

AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY

In this paper, we investigate the presence of the Halloween effect in the long-term reversal anomaly in the US. When we examine the cross-sectional returns of winner-minus-loser portfolios formed on prior returns over the time period of 1931-2021, we find evidence of stronger returns during winter...

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Autor principal: King Fuei Lee
Formato: article
Lenguaje:EN
Publicado: Tuwhera Open Access Publisher 2021
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Acceso en línea:https://doaj.org/article/f429a7fb44a4422088b3d4ceb5f5b5c1
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spelling oai:doaj.org-article:f429a7fb44a4422088b3d4ceb5f5b5c12021-12-01T16:48:00ZAN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY10.24135/afl.v10i.4652253-57992253-5802https://doaj.org/article/f429a7fb44a4422088b3d4ceb5f5b5c12021-11-01T00:00:00Zhttps://ojs.aut.ac.nz/applied-finance-letters/article/view/465https://doaj.org/toc/2253-5799https://doaj.org/toc/2253-5802 In this paper, we investigate the presence of the Halloween effect in the long-term reversal anomaly in the US. When we examine the cross-sectional returns of winner-minus-loser portfolios formed on prior returns over the time period of 1931-2021, we find evidence of stronger returns during winter months versus summer months. In particular, the effect appears to be driven by very strong winter-summer seasonality in the portfolio of small-capitalisation losers, and lack of Halloween effect in the portfolio of large-capitalisation winners. Our finding is robust to alternative measures of long-term reversal, differing sub-periods, the inclusion of the January effect and outlier considerations, as well as within small and large-sized companies.         King Fuei LeeTuwhera Open Access PublisherarticleFinanceHG1-9999ENApplied Finance Letters, Vol 10 (2021)
institution DOAJ
collection DOAJ
language EN
topic Finance
HG1-9999
spellingShingle Finance
HG1-9999
King Fuei Lee
AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY
description In this paper, we investigate the presence of the Halloween effect in the long-term reversal anomaly in the US. When we examine the cross-sectional returns of winner-minus-loser portfolios formed on prior returns over the time period of 1931-2021, we find evidence of stronger returns during winter months versus summer months. In particular, the effect appears to be driven by very strong winter-summer seasonality in the portfolio of small-capitalisation losers, and lack of Halloween effect in the portfolio of large-capitalisation winners. Our finding is robust to alternative measures of long-term reversal, differing sub-periods, the inclusion of the January effect and outlier considerations, as well as within small and large-sized companies.        
format article
author King Fuei Lee
author_facet King Fuei Lee
author_sort King Fuei Lee
title AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY
title_short AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY
title_full AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY
title_fullStr AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY
title_full_unstemmed AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY
title_sort anomaly within an anomaly: the halloween effect in the long-term reversal anomaly
publisher Tuwhera Open Access Publisher
publishDate 2021
url https://doaj.org/article/f429a7fb44a4422088b3d4ceb5f5b5c1
work_keys_str_mv AT kingfueilee ananomalywithinananomalythehalloweeneffectinthelongtermreversalanomaly
AT kingfueilee anomalywithinananomalythehalloweeneffectinthelongtermreversalanomaly
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