Do the Jewish holidays affect stock prices?

When it comes to investing in the stock market this time of year, investors sometimes pay attention to the Jewish calendar even if they profess another faith because Wall Street's conventional wisdom urges them to do so.

Seasoned Wall Street pros call the adage "Sell on Rosh Hashanah (the Jewish New Year) and buy on Yom Kippur (the Day of Atonement).

Art Cashin, the director of floor operations at UBS, noted in a 2013 interview with The Wall Street Journal: "The thesis, I was told, was that you wished to be free (as much as possible) of the distraction of the worldly goods during a period of reflection and self-appraisal."

There is some statistical basis for this notion.

Data going back to 1950 show that September is traditionally a bad month for the S&P 500 (SPX), while October has historically robust returns, Robert Johnson, president of The American College of Financial Services, told The Street.com.

Data from Bespoke Investment Group released in 2014 found that the strategy worked in eight out of the previous 13 Jewish High Holy Days periods.

A 2010 study by two economists from Florida's Nova Southeastern University that examined the daily returns of the Dow Jones Industrial Average (DJI) between 1907 and 2008 found that investors who followed a strategy of selling short, or betting stocks will fall, during Rosh Hashanah and then covering, or reversing, that position during Yom Kippur "would have produced statistically and economically significant returns."

The strategy, though, isn't a pathway to instant riches and carries considerable risk.

A trader would have had to invest $1 million to take a position in all 30 Dow components but would have yielded a return of about $10,095 in about two weeks, according to the paper by Pan Yatrakis and Albert Williams.

"You could make a few dollars, but we don't think you could get rich off it," Williams told CBS MoneyWatch.

There may be other reasons to explain the market action during Rosh Hashanah and Yom Kippur, including seasonality and the expiration of options. Stocks tend to perform better before all holidays, possibly bolstered by the cheer that comes ahead of time off.

However, anyone tempted to follow the bromide about the Jewish holiday should be aware of another Wall Street saying: Past performance doesn't guarantee future returns. Indeed, Bespoke co-founder Paul Hickey told CBS MoneyWatch that he finds the Jewish holiday stock phenomenon "more of an interesting statistic than anything else."