Share Market Anomalies

Kyle · 05-25-2009, 02:15 PM

I posted this in the VIP forum but nobody has replied yet.

An anomaly, according to the textbook definition, refers to an incident of predictable pattern to stock price that investors could exploit, accounting for risk aversion.

Here are some other "disputable" anomalies I can think of:

1) Stocks have higher than average returns in January.
2) Stocks usually turn green on the first few days and the last day of the month.
3) Trade volume is highest on Friday.
4) Trade volume spikes during the last hour of any trading day.
5) Stocks usually experience an uptick 2-4 weeks preceding earnings.
6) A systematic bull wave usually starts with value stocks (e.g. banks, commodities, construction) followed by growth stocks (e.g. tech).

Feel free to add to the list and dispute any of the above claims.

KaPow · 05-25-2009, 03:13 PM

I'm not sure that "disputable" is the word to use unless you hear these statements out of context. Many of those are due to the work of Yale Hirsch in his book "Don't Sell Stocks on Monday: An Almanac for Traders, Brokers and Stock Market Watchers." They are observations derived from calendar-based analyses of historical data of indices such as the DJIA and S&P500 and may be true on average but not necessarily true all the time.

Amazon link for book:

Don't Sell Stocks on Monday: An Almanac for Traders, Brokers and Stock Market Watchers

He and son Jeff also put an annual almanac. Its homepage and the table of contents from the 2008 edition are listed below. You notice several other ideas along the lines of those you listed within the contents listing. (Even today, BNN has been carrying on about how the TSX is almost always up when the US markets are closed for Memorial Day.) It's worthwhile reading if you can find a copy (it does show up illegitimately on websites from time to time). Your local library may also have a copy or be able to acquire it via interlibrary loan. And of course you can buy it at the URL below.

Homepage:
Stock Trader's Almanac - Index

The 2008 Stock Trader's Almanac
byJeffrey A. Hirsch & Yale Hirsch

CONTENTS
10 2008 Strategy Calendar
12 January Almanac
14 January’s First Five Days: An “Early Warning” System
16 The Incredible January Barometer (Devised 1972):
Only Five Significant Errors in 57 Years
18 January Barometer in Graphic Form Since 1950
20 February Almanac
22 Hot January Industries Beat S&P 500 Next 11 Months
24 1933 “Lame Duck” Amendment: Reason January Barometer Works
26 The Eighth Year of Decades
28 March Almanac
30 Market Charts of Presidential Election Years
32 Profit on Day Before St. Patrick’s Day
34 How the Government Manipulates the Economy to Stay in Power
36 Incumbent Party Wins & Losses
38 April Almanac
40 The December Low Indicator: A Useful Prognosticating Tool
42 Down Januarys: A Remarkable Record
44 Top Performing Months Past 57 1/3Years S&P 500 & Dow Jones Industrials
46 May Almanac
48 Best Six Months: Still An Eye-Popping Strategy
50 MACD-Timing Triples Best Six Months Results
52 Only One Loss Last 7 Months of Election Years
54 June Almanac
56 Top Performing NASDAQ Months Past 36 1/3Years
58 Get More Out of NASDAQ’s Best Eight Months With MACD-Timing
60 Mid-Year Rally: Christmas in July
62 First-Trading-Day-Of-The-Month Phenomenon
Dow Gains More One Day than All Other Days
64 July Almanac
66 2006 Daily Dow Point Changes
68 Don’t Sell Stocks on Friday
70 A Rally for All Seasons
72 August Almanac
74 First Months of Quarters Is the Most Bullish
76 Aura of the Triple Witch — 4th Quarter Most Bullish
Down Weeks Trigger More Weakness Week After
78 2008 Presidential Election Year Perspectives
80 A Correction for All Seasons
82 September Almanac
84 Market Behavior Three Days Before and Three Days After Holidays
86 Market Gains More on Super-8 Days Each Month than on All 13 Remaining Days Combined
88 Sell Rosh Hashanah, Buy Yom Kippur, Sell Passover
90 October Almanac
92 Evidence-Based Technical Analysis — Best Investment Book of the Year
94 Year’s Top Investment Books
98 November Almanac
100 Take Advantage of Down Friday/Down Monday Warning
102 Trading the Thanksgiving Market
104 Most of the So-Called “January Effect” Takes Place in the Last Half of December
106 January Effect Now Starts in Mid-December
108 December Almanac
110 Wall Street’s Only “Free Lunch” Served Before Christmas
112 If Santa Claus Should Fail to Call Bears May Come to Broad and Wall
114 Sector Seasonality: Selected Percentage Plays
116 Sector Index Seasonality Strategy Calendar
118 2009 Strategy Calendar
119 2009 Strategy Calendar

DIRECTORY OF TRADING PATTERNS & DATABANK
121 Dow Jones Industrials Market Probability Calendar 2008
122 Recent Dow Jones Industrials Market Probability Calendar 2008
123 S&P 500 Market Probability Calendar 2008
124 Recent S&P 500 Market Probability Calendar 2008
125 NASDAQ Market Probability Calendar 2008
126 Recent NASDAQ Market Probability Calendar 2008
127 Russell 1000 Index Market Probability Calendar 2008
128 Russell 2000 Index Market Probability Calendar 2008
129 Decennial Cycle: A Market Phenomenon
130 Presidential Election/Stock Market Cycle: The 174-Year Saga Continues
131 Dow Jones Industrials Bull and Bear Markets Since 1900
132 Standard & Poor’s 500 Bull & Bear Markets Since 1929/NASDAQ Composite Since 1971
133 Dow Jones Industrials 10-Year Daily Point Changes: January & February
134 Dow Jones Industrials 10-Year Daily Point Changes: March & April
135 Dow Jones Industrials 10-Year Daily Point Changes: May & June
136 Dow Jones Industrials 10-Year Daily Point Changes: July & August
137 Dow Jones Industrials 10-Year Daily Point Changes: September & October
138 Dow Jones Industrials 10-Year Daily Point Changes: November & December
139 A Typical Day in the Market
140 Through the Week on a Half-Hourly Basis
141 Wednesday Now Most Profitable Day of Week
142 NASDAQ Strongest Last 3 Days of Week
143 S&P Daily Performance Each Year Since 1952
144 NASDAQ Daily Performance Each Year Since 1971
145 Monthly Cash Inflows into S&P Stocks
146 Monthly Cash Inflows into NASDAQ Stocks
147 November, December, and January — Year’s Best Three-Month Span
148 November Through June — NASDAQ’s Eight-Month Run
149 Dow Jones Industrials Annual Highs, Lows & Closes Since 1901
150 Standard & Poor’s 500 Annual Highs, Lows & Closes Since 1930
151 NASDAQ, Russell 1000 & 2000 Annual Highs, Lows & Closes Since 1971
152 Dow Jones Industrials Monthly Percent Changes Since 1950
153 Dow Jones Industrials Monthly Point Changes Since 1950
154 Dow Jones Industrials Monthly Closing Prices Since 1950
155 Standard & Poor’s 500 Monthly Percent Changes Since 1950
156 Standard & Poor’s 500 Monthly Closing Prices Since 1950
157 NASDAQ Composite Monthly Percent Changes Since 1971
158 NASDAQ Composite Monthly Closing Prices Since 1971
159 Russell 1000 Monthly Percent Changes & Closing Prices Since 1979
160 Russell 2000 Monthly Percent Changes & Closing Prices Since 1979
161 10 Best Days by Point & Percent
162 10 Worst Days by Point & Percent
163 10 BestWeeks by Point & Percent
164 10 WorstWeeks by Point & Percent
165 10 Best Months by Point & Percent
166 10 Worst Months by Point & Percent
167 10 Best Quarters by Point & Percent
168 10 Worst Quarters by Point & Percent
169 10 BestYears by Point & Percent
170 10 WorstYears by Point & Percent

STRATEGY PLANNING AND RECORD SECTION
172 Portfolio at Start of 2008
173 Additional Purchases
175 Short-Term Transactions
177 Long-Term Transactions
179 Interest/Dividends Received During 2008/Brokerage Account Data 2008
180 Weekly Portfolio Price Record 2008
182 Weekly Indicator Data 2008
184 Monthly Indicator Data 2008
185 Portfolio at End of 2008
186 If You Don’t Profit from Your Investment Mistakes
Someone Else Will / Performance Record of Recommendations
187 IRAs: Most Awesome Mass Investment Incentive Ever Devised
188 Top 300 Exchange Traded Funds (ETFs)
190 Option Trading Codes
191 G.M. Loeb’s “Battle Plan” for Investment Survival
192 G.M. Loeb’s Investment Survival Checklist

---

AdamJ · 05-25-2009, 03:39 PM

Here's another one in regards to when the first day of the month is also a trading day.
The first day advantage - The Globe and Mail

05-25-2009, 02:15 PM	#1
Kyle VIP Trader Join Date: Apr 2009 Location: Cleveland, OH Posts: 77 Favorites: DTSI, FWLT, HSTX Rep Power: 87 Reputation: 869	Share Market Anomalies I posted this in the VIP forum but nobody has replied yet. An anomaly, according to the textbook definition, refers to an incident of predictable pattern to stock price that investors could exploit, accounting for risk aversion. Here are some other "disputable" anomalies I can think of: 1) Stocks have higher than average returns in January. 2) Stocks usually turn green on the first few days and the last day of the month. 3) Trade volume is highest on Friday. 4) Trade volume spikes during the last hour of any trading day. 5) Stocks usually experience an uptick 2-4 weeks preceding earnings. 6) A systematic bull wave usually starts with value stocks (e.g. banks, commodities, construction) followed by growth stocks (e.g. tech). Feel free to add to the list and dispute any of the above claims.
	Rate this post \|

05-25-2009, 03:13 PM	#2
KaPow Banned Join Date: May 2009 Location: Canada Posts: 70 Favorites: RIMM JPM POT Rep Power: 0 Reputation: -89	I'm not sure that "disputable" is the word to use unless you hear these statements out of context. Many of those are due to the work of Yale Hirsch in his book "*Don't Sell Stocks on Monday: An Almanac for Traders, Brokers and Stock Market Watchers." They are observations derived from calendar-based analyses of historical data of indices such as the DJIA and S&P500 and may be true on average but not necessarily true all the time. Amazon link for book: Don't Sell Stocks on Monday: An Almanac for Traders, Brokers and Stock Market Watchers Don't Sell Stocks on Monday: An Almanac for Traders, Brokers and Stock Market Watchers He and son Jeff also put an annual almanac. Its homepage and the table of contents from the 2008 edition are listed below. You notice several other ideas along the lines of those you listed within the contents listing. (Even today, BNN has been carrying on about how the TSX is almost always up when the US markets are closed for Memorial Day.) It's worthwhile reading if you can find a copy (it does show up illegitimately on websites from time to time). Your local library may also have a copy or be able to acquire it via interlibrary loan. And of course you can buy it at the URL below. Homepage: Stock Trader's Almanac - Index The 2008 Stock Trader's Almanac* byJeffrey A. Hirsch & Yale Hirsch CONTENTS 10 2008 Strategy Calendar 12 January Almanac 14 January’s First Five Days: An “Early Warning” System 16 The Incredible January Barometer (Devised 1972): Only Five Significant Errors in 57 Years 18 January Barometer in Graphic Form Since 1950 20 February Almanac 22 Hot January Industries Beat S&P 500 Next 11 Months 24 1933 “Lame Duck” Amendment: Reason January Barometer Works 26 The Eighth Year of Decades 28 March Almanac 30 Market Charts of Presidential Election Years 32 Profit on Day Before St. Patrick’s Day 34 How the Government Manipulates the Economy to Stay in Power 36 Incumbent Party Wins & Losses 38 April Almanac 40 The December Low Indicator: A Useful Prognosticating Tool 42 Down Januarys: A Remarkable Record 44 Top Performing Months Past 57 1/3Years S&P 500 & Dow Jones Industrials 46 May Almanac 48 Best Six Months: Still An Eye-Popping Strategy 50 MACD-Timing Triples Best Six Months Results 52 Only One Loss Last 7 Months of Election Years 54 June Almanac 56 Top Performing NASDAQ Months Past 36 1/3Years 58 Get More Out of NASDAQ’s Best Eight Months With MACD-Timing 60 Mid-Year Rally: Christmas in July 62 First-Trading-Day-Of-The-Month Phenomenon Dow Gains More One Day than All Other Days 64 July Almanac 66 2006 Daily Dow Point Changes 68 Don’t Sell Stocks on Friday 70 A Rally for All Seasons 72 August Almanac 74 First Months of Quarters Is the Most Bullish 76 Aura of the Triple Witch — 4th Quarter Most Bullish Down Weeks Trigger More Weakness Week After 78 2008 Presidential Election Year Perspectives 80 A Correction for All Seasons 82 September Almanac 84 Market Behavior Three Days Before and Three Days After Holidays 86 Market Gains More on Super-8 Days Each Month than on All 13 Remaining Days Combined 88 Sell Rosh Hashanah, Buy Yom Kippur, Sell Passover 90 October Almanac 92 Evidence-Based Technical Analysis — Best Investment Book of the Year 94 Year’s Top Investment Books 98 November Almanac 100 Take Advantage of Down Friday/Down Monday Warning 102 Trading the Thanksgiving Market 104 Most of the So-Called “January Effect” Takes Place in the Last Half of December 106 January Effect Now Starts in Mid-December 108 December Almanac 110 Wall Street’s Only “Free Lunch” Served Before Christmas 112 If Santa Claus Should Fail to Call Bears May Come to Broad and Wall 114 Sector Seasonality: Selected Percentage Plays 116 Sector Index Seasonality Strategy Calendar 118 2009 Strategy Calendar 119 2009 Strategy Calendar DIRECTORY OF TRADING PATTERNS & DATABANK 121 Dow Jones Industrials Market Probability Calendar 2008 122 Recent Dow Jones Industrials Market Probability Calendar 2008 123 S&P 500 Market Probability Calendar 2008 124 Recent S&P 500 Market Probability Calendar 2008 125 NASDAQ Market Probability Calendar 2008 126 Recent NASDAQ Market Probability Calendar 2008 127 Russell 1000 Index Market Probability Calendar 2008 128 Russell 2000 Index Market Probability Calendar 2008 129 Decennial Cycle: A Market Phenomenon 130 Presidential Election/Stock Market Cycle: The 174-Year Saga Continues 131 Dow Jones Industrials Bull and Bear Markets Since 1900 132 Standard & Poor’s 500 Bull & Bear Markets Since 1929/NASDAQ Composite Since 1971 133 Dow Jones Industrials 10-Year Daily Point Changes: January & February 134 Dow Jones Industrials 10-Year Daily Point Changes: March & April 135 Dow Jones Industrials 10-Year Daily Point Changes: May & June 136 Dow Jones Industrials 10-Year Daily Point Changes: July & August 137 Dow Jones Industrials 10-Year Daily Point Changes: September & October 138 Dow Jones Industrials 10-Year Daily Point Changes: November & December 139 A Typical Day in the Market 140 Through the Week on a Half-Hourly Basis 141 Wednesday Now Most Profitable Day of Week 142 NASDAQ Strongest Last 3 Days of Week 143 S&P Daily Performance Each Year Since 1952 144 NASDAQ Daily Performance Each Year Since 1971 145 Monthly Cash Inflows into S&P Stocks 146 Monthly Cash Inflows into NASDAQ Stocks 147 November, December, and January — Year’s Best Three-Month Span 148 November Through June — NASDAQ’s Eight-Month Run 149 Dow Jones Industrials Annual Highs, Lows & Closes Since 1901 150 Standard & Poor’s 500 Annual Highs, Lows & Closes Since 1930 151 NASDAQ, Russell 1000 & 2000 Annual Highs, Lows & Closes Since 1971 152 Dow Jones Industrials Monthly Percent Changes Since 1950 153 Dow Jones Industrials Monthly Point Changes Since 1950 154 Dow Jones Industrials Monthly Closing Prices Since 1950 155 Standard & Poor’s 500 Monthly Percent Changes Since 1950 156 Standard & Poor’s 500 Monthly Closing Prices Since 1950 157 NASDAQ Composite Monthly Percent Changes Since 1971 158 NASDAQ Composite Monthly Closing Prices Since 1971 159 Russell 1000 Monthly Percent Changes & Closing Prices Since 1979 160 Russell 2000 Monthly Percent Changes & Closing Prices Since 1979 161 10 Best Days by Point & Percent 162 10 Worst Days by Point & Percent 163 10 BestWeeks by Point & Percent 164 10 WorstWeeks by Point & Percent 165 10 Best Months by Point & Percent 166 10 Worst Months by Point & Percent 167 10 Best Quarters by Point & Percent 168 10 Worst Quarters by Point & Percent 169 10 BestYears by Point & Percent 170 10 WorstYears by Point & Percent STRATEGY PLANNING AND RECORD SECTION 172 Portfolio at Start of 2008 173 Additional Purchases 175 Short-Term Transactions 177 Long-Term Transactions 179 Interest/Dividends Received During 2008/Brokerage Account Data 2008 180 Weekly Portfolio Price Record 2008 182 Weekly Indicator Data 2008 184 Monthly Indicator Data 2008 185 Portfolio at End of 2008 186 If You Don’t Profit from Your Investment Mistakes Someone Else Will / Performance Record of Recommendations 187 IRAs: Most Awesome Mass Investment Incentive Ever Devised 188 Top 300 Exchange Traded Funds (ETFs) 190 Option Trading Codes 191 G.M. Loeb’s “Battle Plan” for Investment Survival 192 G.M. Loeb’s Investment Survival Checklist ---
	Rate this post \|

05-25-2009, 03:39 PM	#3
AdamJ UberTrader Join Date: Apr 2009 Location: Waterloo Posts: 227 Favorites: OPC WTN GCE IAE QEC ITX Rep Power: 133 Reputation: 1869	Here's another one in regards to when the first day of the month is also a trading day. The first day advantage - The Globe and Mail
	Rate this post \|

Similar Threads
Thread	Thread Starter	Forum	Replies	Last Post
Pre market, do you buy it?	IsDangerous	Trend Spotting	4	06-01-2011 07:39 AM
Market Retracement Article	AKrider	Trend Spotting	6	05-17-2009 09:48 AM
Todays Market	chumptochamp	Traders Lounge	7	05-04-2009 06:19 PM
Is the market manipulated?	AndyB	Rants & Blather	0	05-01-2009 04:15 PM

Thread Tools	Search this Thread
Show Printable Version Email this Page	Search this Thread: Advanced Search