also a poor month in Australia and New Zealand, where the month
marks the beginning of spring and longer days.^9
Perhaps the poor returns in September are the result of investors’
liquidating stocks (or holding off buying new stocks) to pay for their
summer vacations. As discussed below, until recently Monday was by
far the worst-performing day of the week. For many, September is the
monthly version of Monday: the time you face work after a period of
leisure.OTHER SEASONAL RETURNS
Although psychologists say that many silently suffer depression around
Christmas and New Year’s, stock investors believe ’tis the season to be
jolly. Over the past 120 years, daily price returns between Christmas and
New Year’s, as Table 18-1 indicates, have averaged 10 times the average.CHAPTER 18 Calendar Anomalies 315
(^9) Of course, many investors in the Australian and New Zealand market live north of the Equator.
TABLE 18–1
Dow Jones Industrial Average Daily Price Returns, February 1885 through December 2006
1885 - 2006 1885 - 1926 1926 - 1945 1946 - 1990 1990 - 2006
Overall Averages
Whole Month
First Half of Month
Second Half of Month
Last Day of Month
Days of the Week
Monday
Tuesday
Wednesday
Thursday
Friday
With Sat
taStuohtiW
Saturday
Holiday Returns
Day before Holiday
July 4th
Christmas
New Year's
Holiday Avg
Christmas Week
0.0238% 0.0192% 0.0147% 0.0273% 0.0400%
0.0428% 0.0203% 0.0621% 0.0500% 0.0606%
0.0048% 0.0182% -0.0316% 0.0040% 0.0199%
0.0998% 0.0875% 0.1633% 0.1460% -0.0831%
-0.0946% -0.0874% -0.2106% -0.1313% 0.1240%
0.0386% 0.0375% 0.0473% 0.0307% 0.0512%
0.0613% 0.0280% 0.0814% 0.0909% 0.0409%
0.0246% 0.0012% 0.0627% 0.0398% -0.0038%
0.0672% 0.0994% 0.0064% 0.0942% -0.0077%
0.0578% 0.0348% 0.0964% 0.0962%
0.3154% 0.2118% 0.8168% 0.2746% 0.0809%
0.3510% 0.4523% 0.3634% 0.3110% 0.1959%
0.3099% 0.5964% 0.3931% 0.2446% -0.3101%
0.3254% 0.4201% 0.5244% 0.2767% -0.0111%
0.2412% 0.3242% 0.2875% 0.1828% 0.0746%
0.0701% 0.0994% 0.0064% 0.0826% 0.0961%
0.0637% 0.0961% -0.0077%