Faculty Publications

Title

Santa Claus Rally and firm size

Document Type

Article

Publication Date

2016

DOI

http://dx.doi.org/10.1108/MF-10-2015-0280

Abstract

– Several articles in the popular press have detailed an end-of-year anomaly known as the Santa Claus Rally, a period best defined as the last five trading days of December and the first two trading days of January. The purpose of this paper is to examine US stock market returns over this period from 1926 to 2014.