The market does not always behave according to the rules according to the efficient market hypothesis, asset prices quickly incorporate available information. But in practice, investors regularly notice patterns that don't always fit this theory. They are called market anomalies.
Let's look at five famous examples.
Sell effective May.
According to this pattern, the period from November to April is historically better for investing in stocks than from May to October. This is where the idea came from to reduce the share of stocks for the summer. However, in the Russian market the effect is less pronounced: here the dynamics are affected, among other things, by the dividend season and other factors.
Santa Claus rally.
This is the name for possible market growth in the last five trading days of December and the first two days of January. Explanations include optimism for the holidays among investors, receiving premiums and purchases of funds before the end of the reporting period. But this effect does not repeat every year.
Day of the week effect.
A study of the Russian market revealed an interesting pattern: from 2020 to 2026, Monday was the only day of the week with consistently positive dynamics of the Moscow Stock Exchange index. The median return for the day was 0.18%, while the market fell an average of 0.04% from Tuesday to Friday.
Momentum effect.
Stocks that have outperformed over the past 3 to 12 months may continue to rise further. Investors are gradually taking into account new information, and the interest in leading securities supports their movement. The other side of the effect is that external factors may continue to depress the price.
Size effect.
In the long run, stocks of small companies can outperform those of large corporations. Small businesses have more opportunities for multiple growth, but the risks are also higher: for example, due to low liquidity and greater dependence on individual events.
How investors use these patterns.