The School’s Out effect: a new seasonal anomaly!

Coakley, Jerry, Kuo, Jing-Ming and Wood, Andrew (2012) The School’s Out effect: a new seasonal anomaly! British Accounting Review, 44 (3), 133-143. (doi:10.1016/j.bar.2012.07.003).

Abstract

We provide evidence of a new seasonal anomaly during the school vacation or School’s Out (SO) period in nine East Asia and five Mediterranean stock markets. One of its characteristics is that many investors are distracted by child care activities in family-oriented economies where the school vacations last for at least five weeks. The other is that retail investors play a prominent role in these markets. The SO effect manifests itself in a lowering of weekly share turnover by 13% in East Asia and 25% in the Mediterranean markets and in a drop in the corresponding stock returns by 0.4% and 0.3%, respectively. The falls in turnover and, to a lesser extent, returns are robust to a potential confound with other seasonal effects such as the Gone Fishin’ and Sell in May and Go Away effects where these effects overlap.

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