18
CHAPTER
CALENDAR ANOMALIES
October. This is one of the peculiarly dangerous months to speculate
in stocks. The others are July, January, September, April, November,
May, March, June, December, August, and February.
MARKTWA I NThe dictionary defines anomalyas something inconsistent with what is
naturally expected. And what is more unnatural than to expect to beat
the market by predicting stock prices based solely on the day or week or
month of the year? Yet it appears that you can. Research has revealed
that there are predictable times during which stocks as a whole, and cer-
tain stocks in particular, outperform the market.
The analysis in the first edition of Stocks for the Long Run, published
in 1994, was based on long data series analyzed through the early 1990s.
The calendar anomalies reported in that edition invited investors to try
to outperform the market by adopting their strategies to these unusual
calendar events. However, as more investors know of these anomalies,
the prices of stocks may adjust so that much, if not all, of the anomaly is
eliminated. That certainly would be the prediction of the efficient mar-
ket hypothesis.
In this edition of Stocks for the Long Run, I shall look at the evidence
over the past 14 years to determine whether the anomaly survived or305Copyright © 2008, 2002, 1998, 1994 by Jeremy J. Siegel. Click here for terms of use.