We report on a seasonal pattern that has persisted in the Japanese 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 "Dekansho-bushi effect," this seasonality is independent of other known calendar anomalies, such as the socalled January effect. The Dekansho-bushi effect should be distinguished from the "sell in May effect," since Japanese stocks perform well in June and poorly in November and December. The Dekansho-bushi effect varies in magnitude among firms and is particularly significant among small firms with low book-to-market ratios. Nonetheless, the effect exists, regardless of a company's size or book-tomarket ratio.
CITATION STYLE
Sakakibara, S., Yamasaki, T., & Okada, K. (2015). The Calendar Structure of the Japanese Stock Market: The “Sell in May Effect” Versus the “Dekansho-Bushi Effect.” In Behavioral Interactions, Markets, and Economic Dynamics: Topics in Behavioral Economics (pp. 637–661). Springer Japan. https://doi.org/10.1007/978-4-431-55501-8_23
Mendeley helps you to discover research relevant for your work.