The Calendar Structure of the Japanese Stock Market: ``Sell in May Effect" versus ``Dekansho-bushi Effect"

We report on a seasonal pattern that has persisted in the Japanese stock market for more than half a century: mean stock returns are significantly positive for months during the first half of the calendar year and significantly negative for months during the second half. Dubbed the ``Dekansho-bushi effect," this seasonality is independent of other known calendar anomalies, such as the so-called January effect. The Dekansho-bushi effect should be distinguished from the ``sell in May effect," since Japanese stocks perform well in June and poorly in November and December. The Dekansho-bushi effect varies in magnitude among firms and is particularly significant among small firms with low book-to-market ratios. Nonetheless, the effect exists, regardless of a company' s size or book-to-market ratio.