This is a summary of links featured on Quantocracy on Monday, 05/23/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Seasonal Effects in Equity Markets [Jonathan Kinlay]There are a plethora of seasonal anomalies documented in academic research. For equities these include the Halloween effect (Sell in May), January effect, turn-of-the-month effect, weekend effect and holiday effect. For example, Bouman and Jacobsen (2002) and Jacobsen and Visaltanachoti (2009) provide empirical evidence on the Halloween effect, Haug and Hirschey (2006) on the January effect,