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Not sure if this is the right forum for this kind of question, but here goes:

I have been looking at a 3.5 year time series of several hundred DJIA stocks and notice that for many (but not all) stocks there is a very discernible slump every 365 days or so. Unfortunately I can't tell which month the slump happens in. Does anyone know what causes this periodic drop in closing price values?

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    You referring to the "October Effect", perhaps? (investopedia.com/terms/o/octobereffect.asp)
    – JohnFx ♦
    Commented Sep 2, 2013 at 7:01
  • I suggest you continue to search for this. I recall a site that would accept a ticker and range of years and offer a report showing average monthly returns for that stock. This would identify the pattern you seek. The un-broken Motorola showed such a pattern, a 10%+ average 2 decade return, but a six month average (may - nov) that was negative, and more than the 10% all occurring in the other six months. Each stock that exhibits such patterns has its own reasons, in my opinion.
    – JTP - Apologise to Monica ♦
    Commented Sep 2, 2013 at 20:52

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If the period is consistent for company X, but occurs in a different month as Company Y, it might be linked to the release of their annual report, or the payment of their annual dividend. Companies don't have to end their fiscal year near the end of the Calendar year, therefore these end of year events could occur in any month.

The annual report could cause investors to react to the hard numbers of the report compared to what wall street experts have been predicting.

The payment of an annual dividend will also cause a direct drop in the price of the stock when the payment is made. There will also be some movement in prices as the payment date approaches.

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