This chapter is a survey of seasonal anomalies. Ziemba has been involved in the re- search and trading of such anomalies as the January turn-of-the-year effect since 1982. His research plus that of other academics plus the very useful practitioner research of Yale Hirsch's Stock Trader's Almanac...

Seasonality in stock markets is a regular and repetitive phenomenon occurring at some regular intervals of time, which may generate abnormal or excess returns. This paper explores the existence of seasonality in Indian stock market in four forms, namely, day-of-the-week effect, month-of-the-year...

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

This study examines the calendar effects in 55 Stock market exchange indices around the globe. The effects which are examined are the turn-of-the-Month effect, day-of-the-Week effect, Month-of the-Year effect and semi-Month effect. The methodology followed is the test hypothesis with bootstrap...

Time series observed at higher frequencies than monthly frequency display complex seasonal patterns that result from the combination of multiple seasonal patterns (with annual, monthly, weekly and daily periodicities) and varying periods, due to the irregularity of the calendar. The paper deals...

A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency. The seasonalities overwhelm...