BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

ACTA WASAENSIA 35size effect has largely disappeared since its publication in 1981, whereas the momentumeffect seems to persist 46 . The persistence of the value effect is less clear. Schwert(2003) argues that the value effect has attenuated as well, whereas Hogan et al. (2004)demonstrates the profitability of several value-based strategies up until 2000, extendingthe sample period 1963—1990 originally used by Lakonishok et al. (1994) 47 .The most recent cross-sectional anomaly concerns the investment recommendationsfrom brokerage analysts. Womack (1996) and Barber, Lehavy, McNichols & Trueman(2001) find that stocks with fresh buy recommendations outperform stocks with freshsell recommendations, most probably reflecting finite reaction time to firm specificinformation. They report however excess returns, which are not sufficient to covertransaction costs.2.10.2 Seasonal AnomaliesSeasonal Anomalies or Calendar Effects denote the empirical finding that stock returnsappear not to be uniformly distributed over the year. The best known calendar effectsinclude the Weekend, theJanuary, theTurn-of-Month and the Holiday Effect.Cross (1973) and French (1980) find unusually low returns on Fridays and extraordinarylarge returns on Mondays. Rozeff & Kinney (1976) find above average returns inJanuary, which Keim (1983) and Reinganum (1983) show to be concentrated on firmswith small market capitalization. Ariel (1987) and Lakonishok & Smidt (1988) findlarger returns around the turn of the month; and Ariel (1990), Lakonishok & Smidt(1988) as well as Ziemba (1991) find extradordinary large returns on the days preceedingpublic hodlidays.Seasonal anomamlies have been adversed of data-snooping–just like their cross-sectionalcounterparts discussed in section 2.10.1–due to the lack of any a priori theoretical ex-46 see Schwert (2003); Hogan, Jarrow, Teo & Warachka (2004).47 Hogan et al. (2004) do however not report isolated performance in the out-of-sample period 1991-2000.