Santa Claus Rally and firm size
– 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.
Johnson, Robert; Washer, Kenneth M.; and Nippani, Srinivas, "Santa Claus Rally and firm size" (2016). Faculty Publications. 564.