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Orientador(es)
Resumo(s)
combined into a practical, low-frequency trading strategy for the U.S. equity market. Using daily S&P 500 data from 1975 to 2024, the analysis evaluates the turn-of-the-month effect, preholiday returns, Federal Reserve meeting dates, earnings intensity and seasonal expected
returns. Each effect is tested individually and then integrated into a unified strategy. While individual anomalies exhibit modest and time-varying performance, their combination concentrates returns into specific trading windows and improves risk-adjusted performance relative to buy-and-hold, showing the economic importance of predictable timing patterns in equity returns.
Descrição
Palavras-chave
Calendar effects Seasonal momentum Earnings announcements FOMC meetings