Episode Details

In addition to exhibiting correlation across time, stock prices seem to also follow patterns in calendar time. In this session, we look at two of the most commonly noted calendar time phenomena in stock prices. The first is the January effect, where stocks have done much better in January than in any other month of the year. While the January effect is commonly attributed to tax loss selling (at the end of the previous year) and institutional rebalancing, the most interesting feature of the January effect is that it is primarily attributable to the smallest firms in the market, with about half of the so-called small cap premium being earned in the first two weeks of the calendar year. The second effect is the weekend effect, where Mondays have historically been the worst day of the week to invest in stocks. This effect, though, seems to have weakened in the last two decades, with Fridays competing with Mondays for worst day-of-the-week honors.
Playlist for class (Intro + 42 sessions): https://youtube.com/playlist?list=PLUkh9m2BorqnZGADa8cTzeJblmrZY_SqP&si=zI2pk17pJeld4nWR
Slides: https://www.stern.nyu.edu/~adamodar/pdfiles/invphilslides25/session10.pdf
Post-class test: https://www.stern.nyu.edu/~adamodar/pdfiles/invphilcertificate/postclass/session10test.pdf
Post-class solution: https://www.stern.nyu.edu/~adamodar/pdfiles/invphilcertificate/postclass/session10soln.pdf

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