The September Swoon

Abstract

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.