"A calendar effect is any market anomaly or economic effect which appears to be related to the calendar. Such effects include the apparently different behaviour of stock markets on different days of the week, different times of the month, and different times of year (seasonal tendencies). The term sometimes includes multi-year effects, such as the 10-year (decadal) cycle, or the 4-year U.S. presidential election cycle. It also sometimes includes time of day effects."
Novice quantitative researchers don't treat calendar anomalies seriously and consider them to be a byproduct of data mining (in fact, there are debates even among academics - see the papers section). However, there is significant amount of quality research to reject the idea that all seasonal anomalies are overfitting - some of them are indeed change their patterns over time, but do it very slowly to ignore at all.
Papers section presents many standard calendar anomalies:
- Monthly ("Sell in May", January, etc.)
- Turn of the Month (TOM)
- Pre-holiday and holiday (e.g. ramadan effect)
- FOMC meeting
- Election cycle