Uh, oh. Here is one that will cause my notes to be redone!
Jacobsen, Mamum, and Visaltanchoti use the Fama-French data library to look at three types of anomalies. Their findings may surprise you!
The anomalies are broken down into three categories:
- Seasonal--the Halloween Effect (that is that stocks do better from November to April) and the January Effect.
- Value--The Book to Market anomaly and the Earnings to Price anomaly.
- Size Effect-the small firm effect
1. Returns appear lower in the summer (thus the so-called Halloween effect is supported) :
- "excess returns on almost all portfolios are during summer not significantly different from zero and negative in approximately half of all portfolios. This confirms the finding of Bouman and Jacobsen (2002) for international results also for the US: excess returns in the US on many portfolios are close to zero and often negative during summer months."
- "Size effect and the well known value effects, like Book to Market, Earnings to Price,
Cash Flow to Price and Dividend to Price effects are not affected by the Halloween
effect. These anomalies persist in summer and winter."
- "After controlling for a January effect we find no evidence of a size effect in equally weighted portfolios and a reversed size or, in other words, a Âlarge firm effectÂ in value weighted portfolios."
Jacobsen, Ben NMI1, Mamun, Abdullah and Visaltanachoti, Nuttawat, "Seasonal, Size and Value Anomalies" (August 2005). http://ssrn.com/abstract=784186