Shown in Figure 18-4 are the Dow Jones Industrial Averages from
1885 through 2006, both including and excluding the month of Septem-
ber. An investment of $1 in the Dow Jones Average in 1885 would be
worth $490 by the end of 2006 (dividends excluded). In contrast, $1 in-
vested in the Dow only in the month of September would be worth only
23 cents! On the other hand, if you put your money in the stock market
every month except September, your dollar would have been worth
$2,176 at the end of 2006.
The poor returns in September also prevail in the rest of the world.
It is amazing that September is the only month of the year that has nega-
tive returns in a value-weighted index. September has been the worst
month in 17 of the 20 countries analyzed and all the major world indexes,
including the EAFE Index and the Morgan Stanley all-world index. In
September investors would do better holding zero-interest currency thanCHAPTER 18 Calendar Anomalies 313
FIGURE18–3
International January and September Effects, 1970 through December 2006