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Santa Claus rally and American depository receipts: a note

Srinivas Nippani et al.

Afro-Asian Journal of Finance and Accounting2025https://doi.org/10.1504/aajfa.2025.144777article
ABDC C
Weight
0.50

What the paper says

Recent empirical evidence supports the presence of the Santa Claus rally, an intriguing market anomaly that produces above-average returns during the last five trading days of December and the first two trading days of January. This anomaly, one of the latest that goes against market efficiency, has been found to exist in several countries, including countries where Christmas holds less significance in the calendar year. This paper examines for the first time the existence of the anomaly in the American depository receipts (ADRs) market. By analysing data from four distinct periods spanning nearly 25 years, we demonstrate that the anomaly solely manifests in the long form, encompassing the first two trading days in January. Our findings are robust and carry significant implications for both practitioners and academics.

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https://doi.org/https://doi.org/10.1504/aajfa.2025.144777

Or copy a formatted citation

@article{srinivas2025,
  title        = {{Santa Claus rally and American depository receipts: a note}},
  author       = {Srinivas Nippani et al.},
  journal      = {Afro-Asian Journal of Finance and Accounting},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1504/aajfa.2025.144777},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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