This study provides a month-by-month examination of stock returns. The results reconfirm the January Effect as well as indicate a powerful anomaly in September. Investing in the CRSP equal-weighted index in only January turns $1 in 1926 to $87.40 by 2006. The second closest month is July, during which $1 grows to $3.11. September is a poor month to invest. The $1 invested in only September decreases to a mere $0.49. The Halloween Effect vanishes once the monthly anomalies are controlled for. The September Effect is also established in four out of the five international markets tested.
Investment Management and Financial Innovations
Etebari, A. “A Month-by-Month Examination of Long-Term Stock Returns,” (with Stephen Ciccone) Investment Management and Financial Innovation, 5(3), 2008, 8-18.