Читать книгу Behavioral Finance and Your Portfolio - Michael M. Pompian - Страница 25

One calendar anomaly is known as “The January Effect.” Historically, stocks in general and small stocks in particular have delivered abnormally high returns during the month of January. Robert Haugen and Philippe Jorion, two researchers on the subject, note that “the January Effect is, perhaps, the best-known example of anomalous behavior in security markets throughout the world.”¹⁵ The January Effect is particularly illuminating because it hasn't disappeared, despite being well known for 25 years (according to arbitrage theory, anomalies should disappear as traders attempt to exploit them in advance).

The January Effect is attributed to stocks rebounding following year-end tax selling. Individual stocks depressed near year-end are more likely to be sold for tax-loss harvesting. Some researchers have also begun to identify a “December Effect,” which stems both from the requirement that many mutual funds report holdings as well as from investors buying in advance of potential January increases.

Additionally, there is a Turn-of-the-Month Effect. Studies have shown that stocks show higher returns on the last and on the first four days of each month relative to the other days. Frank Russell Company examined returns of the Standard & Poor's (S&P) 500 over a 65-year period and found that U.S. large-cap stocks consistently generate higher returns at the turn of the month.¹⁶ Some believe that this effect is due to end-of-month cash flows (salaries, mortgages, credit cards, etc.). Chris Hensel and William Ziemba found that returns for the turn of the month consistently and significantly exceeded averages during the interval from 1928 through 1993 and “that the total return from the S&P 500 over this sixty-five-year period was received mostly during the turn of the month.”¹⁷ The study implies that investors making regular purchases may benefit by scheduling those purchases prior to the turn of the month.

Validity exists in both the efficient market and the anomalous market theories. In reality, markets are neither perfectly efficient nor completely anomalous. Market efficiency is not black or white but rather, varies by degrees of gray, depending on the market in question. In markets exhibiting substantial inefficiency, savvy investors can strive to outperform less savvy investors. Many believe that large-capitalization stocks, such as GE and Microsoft, tend to be very informative and efficient stocks but that small-capitalization stocks and international stocks are less efficient, creating opportunities for outperformance. Real estate, while traditionally an inefficient market, has become more transparent and, there are REIT index products for gaining direct market exposure. Finally, the venture capital market, lacking fluid and continuous prices, is considered to be less efficient due to information asymmetries between players.