Feb

2

If the first day of month/Fosback anomaly were dissipating, over time one would expect over time the last day of month to increase (bought earlier and earlier) and first day decrease (buying moved to LDOM).

SPY daily 12/99-present used for regressions; FDOM vs date

Regression Analysis: FDOM versus Date

The regression equation is
FDOM = - 0.0016 + 0.000000 Date

Predictor        Coef        SE Coef      T      P
Constant     -0.00160     0.04447    -0.04  0.971
Date       0.00000012  0.00000115   0.11  0.915

S = 0.0157128   R-Sq = 0.0%   R-Sq(adj) = 0.0%

>>slope = flat (and NS); cannot conclude FDOM return is changing over time.

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Regression Analysis: LDOM versus Date

The regression equation is
LDOM = 0.0522 - 0.000001 Date

Predictor         Coef       SE Coef      T      P
Constant       0.05219     0.02840   1.84  0.068
Date       -0.00000135  0.00000074  -1.84  0.069

S = 0.0100366   R-Sq = 2.5%   R-Sq(adj) = 1.8%

LDOM vs date negative slope (borderline significant) >> LDOM return declining over time; opposite of expected if buying moved from FDOM to LDOM


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