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The Calendar Structure of the J apanese Stock Market: The ‘Sell in M ay Effect’ versus the ‘ D ekansho‐bushi Effect’

2013; Wiley; Volume: 13; Issue: 2 Linguagem: Inglês

10.1111/irfi.12003

1468-2443

Shigeki Sakakibara, Takashi Yamasaki, Katsuhiko Okada,

Financial Risk and Volatility Modeling

Abstract We report on a seasonal pattern that has persisted in the J apanese 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 D ekansho‐bushi effect , this seasonality is independent of other known calendar anomalies, such as the so‐called J anuary effect. The D ekansho‐bushi effect should be distinguished from the ‘sell in M ay effect,’ because J apanese stocks perform well in J une and poorly in N ovember and D ecember. The D ekansho‐bushi effect varies in magnitude among firms and is particularly significant among small firms with high book‐to‐market ratios. Nonetheless, the effect exists, regardless of a company's size or book‐to‐market ratio.