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

36 ACTA WASAENSIAplanations for them. Calendar effect have been explained by institutional factors suchas cash-flow and policy constraints and individual trading patterns such as tax-losssellingand delayed reactions to market information 48 , but all of these may just as wellbe regarded as after the fact rationalizations of empirically observed phenomena.Seasonal anomalies are not stable through time just like their cross-sectional counterparts49 and Sullivan et al. (1998) demonstrate that even the best performing calendarrules may be attenuated up to insignificance when correcting for data-snooping bias.Data-snooping alone, however, appears to be an insufficient explanation given theirwide occurence in markets all over the world 50 .Schwert (2003) finds the January Effect to be confined to the cheapest and least liquidstocks, while the Weekend Effect seems to have disappeard since the early 1980’s,suggesting that the market learns through time. The latter view is consistent withBossaerts & Hillion (1999), who confirm in-sample predictability of international stockreturns, but find no out-of-sample predictability even of the best in-sample modelsselected by standard statistical model selection criteria; and explain this with modelnonstationarity due to learning by market participants.48 see Ziemba (1994).49 see Ziemba (1994) and Sullivan et al. (1998).50 see Ziemba (1994) and Hawanini & Keim (1995).