Equity Factor Returns Across the Chinese Zodiac
February 11, 2016 - Animal Spirits, Calendar Effects
Do the 12 yearly signs of the Chinese Zodiac cycle (Rabbit, Dragon, Snake, Horse, Goat, Monkey, Rooster, Dog, Pig, Rat, Ox, Tiger) relate individually to stock market behavior? In their January 2016 paper entitled “The Zodiac Calendar and Equity Factor Returns”, Janice Phoeng and Laurens Swinkels calculate four annual equity factor returns for each of the Zodiac… Keep Reading