CXO Advisory points to a paper by Peter Reinhard Hansen, Asger Lunde and James Nason that studies calendar effects in a number of global equity markets. Although the researchers find evidence of a number of calendar effects, but their significance seems to have diminished since the early 1990s. Calendar effects were greatest in small and mid-cap stocks. CXO also has links to a number of other calendar effect related articles. Worth a look.
Comprehensive analysis of calendar effects
October 13, 2005