Faithin Omaha eBook Collection

Download or read book The September Swoon written by Mark Haug and published by . This book was released on 2015 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Anomalous evidence of seasonality in stock market returns presents a serious challenge to the Efficient Market Hypothesis. Previous studies often explain anomalous monthly returns as being caused by various institutional considerations, like tax-loss selling or empirical problems tied to making inferences about market efficiency based solely on historical data--the “data snooping” problem. This paper analyzes an anomalous pattern of negative stock-market returns during the month of September. The “September Swoon” cannot be easily dismissed as a reflection of institutional consideration, time period considerations, nor differences in return measurement criteria. As such, it presents a challenge to the EMH.