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The Role of Size-Related Seasonal Anomalies in Today's Stock Market
AdvisorStone, Gregory R.
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This analysis determines if seasonal strategies as they were observed in the past are currently viable or if the abnormal returns once generated by these strategies have dissipated or reversed due to overuse by investors and market efficiency. The purpose of this analysis is to provide insight into investor behavior within the realm of seasonality, and to use this seasonal behavior to determine if a successful investment strategy can be devised by "timing the market". In order to address this problem, three separate investment strategies are presented and regressions are run against the market using the S&P 600 index, with a contrarian twist: the strategies are simulated in the reverse of the conventional manner in which they were originally presented.