Exploiting Superstition in the Investment Strategies : Case of Friday the 13th Effect

This paper approaches the possibilities of building investment strategies based on the calendar anomaly known as Friday the 13th effect. In this investigation we employ, for the period January 2010-August 2018, the closing values of three indexes from the United States capital market. We found no evidence for the traditional forms of Friday the 13th effect, but the results indicate the presence of some related forms of this calendar anomaly. The returns on two trading days before Friday the 13th tend to be lower than the average, while the returns on one or two trading days after were higher than the average. The investment strategies based on these patterns could be, in some circumstances, profitable