The Calendar Structure of the Japanese Stock Market : “Sell in May Effect” versus “Dekansho-bushi Effect”
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概要
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We report on a seasonal pattern that has persisted in the Japanese stock market for more than half a century: mean stock returns are significantly positive for months during the first half of the calendar year and significantly negative for months during the second half. Dubbed the “Dekansho-bushi effect,” this seasonality is independent of other known calendar anomalies, such as the so-called January effect. The Dekansho-bushi effect should be distinguished from the “sell in May effect,” since Japanese stocks perform well in June and poorly in November and December. The Dekansho-bushi effect varies in magnitude among firms and is particularly significant among small firms with low book-to-market ratios. Nonetheless, the effect exists, regardless of a company’s size or book-to-market ratio.
- 神戸大学大学院経営学研究科の論文
神戸大学大学院経営学研究科 | 論文
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