American Business Review | 2026
Authors: Lobão J.; Costa A.C.
DOI: 10.37625/abr.29.1.287-308
Journal: American Business Review
Year: 2026
Publisher: Pompea College of Business, University of New Haven
Document Type: Article
Open Access: All Open Access; Gold Open Access; Green Open Access
Cited by: 0
This paper investigates the evolving behavior of calendar anomalies (monthly effects) within the Portuguese stock market over a period spanning approximately 120 years. By employing a combination of sub-sample and rolling window analyses, we demonstrate that the performance of these anomalies fluctuated adaptively over time. Additionally, we apply the “Superior Predictive Ability” test to assess whether these anomalies present exploitable profit opportunities, factoring in data-snooping effects. The results for the full sample indicate significantly higher returns in January and lower returns in June and July, while the positive September effect appears to be historically concentrated in earlier decades of the sample. Sub-sample and rolling window analyses reveal that the strength and even the sign of several calendar effects vary across periods. However, bootstrap simulations suggest that once trading costs are considered, calendar-based strategies do not consistently outperform a buy-and-hold benchmark. Overall, the evidence supports the Adaptive Market Hypothesis as a more suitable explanation for the observed dynamics in the Portuguese stock market. © The Authors 2026
Adaptive Market Hypothesis; Calendar Anomalies; Market Efficiency; Monthly Effects; Portugal; Superior Predictive Ability