.... Research limitations/implications – The authors only check the markets in the USA. Market makers can use this to get significantly high returns during the Christmas-New Year period. The study shows for the first time that there is a size effect as part of the Santa Claus Rally. Practical implications...

.... These results indicate stock markets no longer exhibit a size effect or a reverse size effect. Originality/value The paper contributes to the finance literature by examining the size effect as well as the reverse size effect in developed and emerging stock markets on recent data. We initially compare...