*Calendar effects* (sometimes less accurately described as ‘seasonal effects’) are cyclical anomalies in returns, where the cycle is based on the calendar. The most important calendar anomalies are the January effect and the weekend effect. The following books include sections on calendar effects: Thaler (1992), Siegel (1998), Lofthouse (2001), Constantinides, Harris and Stulz (2003), Singal (2004) and Taylor (2005). Relevant papers include Lakonishok and Smidt (1988), Hawawini and Keim (1995), Mills and Coutts (1995) and Arsad and Coutts (1997).

Sullivan, Timmermann and White (2001) highlight the dangers of data mining calendar effects and point out that using the same data set to formulate and test hypothese introduces data-mining biases that, if not accounted for, invalidate the assumptions underlying classical statistical inference. They show that the significance of calendar trading rules is much weaker when it is assessed in the context of a universe of rules that could plausibly have been evaluated. They are correct to highlight the dangers of datamining, but don't mention the fact that classical statistical inference is already flawed. A more useful reality check is to remember that a surprising result requires more evidence, Bayesian reasoning makes this clear.

P(hypothesis) = prior belief * strength of evidence

So, for example, it is quite rational to require more evidence for a lunar effect than a tax-loss selling effect.

Many calendar effects have diminished, disappeared altogether or even reversed since they were discovered.

### Intraday

### Weekend Effect/Monday Effect

### Intramonth Effects

### Quarterly

### January Effect

### Daylight savings

### Halloween

### Holidays

### January barometer

- SIEGEL, J.J., 2002. Stocks for the Long Run. books.google.com. [Cited by 319] (74.11/year)
- THALER, R.H., 1992. The winner's curse. books.regehr.org. [Cited by 345] (24.12/year)
- SCHWERT, G.W., 2003. Anomalies and Market Efficiency. [Cited by 78] (18.12/year)
- RUBINSTEIN, M., 2001. Rational Markets: Yes or No? The Affirmative Case,
*Financial Analysts Journal*, volume 57, number 3 (May/June), pages 15-29. [Cited by 71] (11.26/year) - LAKONISHOK, Josef and Seymour SMIDT, 1988. Are seasonal anomalies real? A ninety-year perspective,
*The Review of Financial Studies*, Vol. 1, No. 4. (Winter, 1988), pp. 403-425. [Cited by 161] (8.80/year) - DIMSON, Elroy and Paul MARSH, 1999. Murphy's Law and Market Anomalies,
*Journal of Portfolio Management*, Winter 1999. [Cited by 51] (6.99/year) - SULLIVAN, Ryan, Allan TIMMERMANN and Halbert WHITE, 2001. Dangers of data mining: the case of calendar effects in stock returns,
*Journal of Econometrics*, Volume 105, Issue 1, November 2001, Pages 249-286. [Cited by 41] (4.94/year)

Sullivan, Timmermann and White (2001) are correct in what they say, but don't mention the fact that classical statistical inference is already flawed. A more useful reality check is to remember that a surprising result requires more evidence. Bayesian reasoning makes this clear: P(hypothesis) = prior belief * strength of evidence So, for example, it is quite rational to require more evidence for a lunar effect than a tax-loss selling effect. - HAWAWINI, G. and D.B. KEIM, 1995. On the predictability of common stock returns: World-wide evidence. In:
*Handbooks in Operations Research and Management Science, Volume 9, Finance*, pages 497-544. [Cited by 58] (4.05/year) - MILLS, T.C. and J.A. COUTTS, 1995. Calendar effects in the London Stock Exchange FT-SE Indices,
*European Journal of Finance*, Volume 1, Number 1, Pages 79-94. [Cited by 38] (3.36/year) - ARSAD, Zainudin and J. Andrew COUTTS. 1997. Security price anomalies in the London International Stock Exchange: a 60 year perspective,
*Applied Financial Economics*, Volume 7, Number 5, 1 October 1997, pp. 455-464. [Cited by 29] (3.12/year) - BARONE, E., 1990. The Italian Stock Market: Efficiency and Calendar Anomalies. luiss.it. [Cited by 30] (1.84/year)
- SINGAL, V., 2003. Beyond the Random Walk: A Guide to Stock Market Anomalies and Low-Risk Investing. books.google.com. [Cited by 6] (1.82/year)
- BELL, W.R. and S.C. HILLMER, 1983. Modeling Time Series With Calendar Variation.
*Journal of the American Statistical Association.*[Cited by 38] (1.63/year) - JORDAN, S.D. and B.D. JORDAN, 1991. Seasonality in Daily Bond Returns.
*The Journal of Financial and Quantitative Analysis.*[Cited by 23] (1.50/year) - LOFTHOUSE, S., 2001. Investment management. Wiley New York. [Cited by 7] (1.32/year)
- HANSEN, P.R. and A. LUNDE, 2004. Testing the Significance of Calendar Effects. [Cited by 3] (1.30/year)
- CHAN, M.W.L., A. KHANTHAVIT and H. THOMAS, 1996. Seasonality and cultural influences on four Asian stock markets.
*Asia Pacific Journal of Management.*[Cited by 12] (1.16/year) - FRANGAKIS, C.E. and R. VARADHAN, 2002. Confidence intervals for seasonal relative risk with null boundary values.
*Epidemiology.*[Cited by 5] (1.16/year) - MILLS, T.C.,
*et al.*, 2000. Seasonality in the Athens stock exchange.*Applied Financial Economics.*[Cited by 7] (1.11/year) - LIN, J.L. and T.S. LIU, 2002. Modeling Lunar Calendar Holiday Effects in Taiwan.
*Taiwan Economic Forecast and Policy.*[Cited by 4] (0.93/year) - CLEVELAND, W.S. and S.J. DEVLIN, 1980. Calendar Effects in Monthly Time Series: Detection by Spectrum Analysis and Graphical Methods.
*Journal of the American Statistical Association.*[Cited by 21] (0.80/year) - GAO, L. and G. KLING, 2005. Calendar Effects in Chinese Stock Market.
*Annals of Economics and Finance.*[Cited by 1] (0.77/year) - JENSEN, D., 2000. Data snooping, dredging and fishing: the dark side of data mining a SIGKDD99 panel report.
*ACM SIGKDD Explorations Newsletter.*[Cited by 4] (0.63/year) - CLEVELAND, W.S. and S.J. DEVLIN, 1982. Calendar Effects in Monthly Time Series: Modeling and Adjustment.
*Journal of the American Statistical Association.*[Cited by 15] (0.62/year) - LIU, L.M., 1980. Analysis of Time Series with Calendar Effects.
*Management Science.*[Cited by 10] (0.38/year) - CLEVELAND, W.P. and M.R. GRUPE, 1981. Modeling Time Series when Calendar Effects are Present. ideas.repec.org. [Cited by 4] (0.16/year)
- PAULY, R. and A. SCHELL, 1989. Calendar effects in structural time series models with trend and season.
*Empirical Economics.*[Cited by 1] (0.06/year) - THALER, R.H., 992). Calendar Effects in the Stock Market''in Richard H. Thaler, The Winner's Curse.
*Princeton: Princeton University Press,.*[Cited by 1] (0.00/year) - THALER, R.H., 1992. Calendar Effects in the Stock Market. [Cited by 1] (0.07/year)
- MABERLY, E.D. and D.F. WAGGONER, 2000. Closing the Question on the Continuation of Turn-of-the-month Effects: Evidence from the S & P 500 …. papers.ssrn.com. [not cited] (0/year)
- TAYLOR, S.J., 2005. Asset price dynamics, volatility, and prediction. Princeton University Press. [not cited] (0/year)
- HOLDEN, K., J. THOMPSON and Y. RUANGRIT, European Journal of Operational Research (forthcoming 2004). The Asian Crisis and Calendar Effects on Stock Returns in Thailand. [Cited by 3] (?/year)
- CHELLEY-STEELEY, P.L., 1995. Calendar Effects and the Pricing of Risk.: the UK Evidence.
*The European Journal of Finance.*[Cited by 1] (0.09/year)