Santa Claus Rally: A Global Equity Markets and International Factor-Based Analysis (paper) by Matéo Molinaro, Ryhan Chebrek, Julien Moury, Theo Domingues :: SSRN

This study investigates the presence and statistical significance of the Santa Claus Rally (SCR) across global equity markets and factor portfolios. Using adjusted p-values and cross-country factor returns (MKT, SMB, HML, FF, and Devil factors), we document a positive and economically relevant SCR effect in several regions, notably Canada, New Zealand, the United States, and broader North America. For example, Canada’s SMB factor exhibits a SCR return proportion of nearly 97%, with statistical significance reaching 30.76%. However, overall significance declines substantially after multiple-testing corrections, in some cases by over twelvefold, largely due to the disproportionate sample size between SCR days and non-SCR days (97.3% of the total sample). Our results suggest that while the SCR remains visible in certain factors and geographies, its robustness weakens under rigorous statistical scrutiny. Future work will compare significance assessments with and without bootstrap-based adjustments.