|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: SSRN-id2234131. ; Size: 404K
|
|
'Sell in May and Go Away' Just Won't Go Away
Sandro C. Andrade
University of Miami - Department of Finance
Vidhi Chhaochharia
University of Miami
Michael E. Fuerst
University of Miami
July 1, 2012
Financial Analysts Journal, Forthcoming
Abstract:
We perform an out-of-sample test of the Sell in May effect studied by Bouman and Jacobsen (American Economic Review, 2002). Reducing equity exposure starting in May and levering it up starting in November persists as a profitable market timing strategy. On average, stock returns are about 10 percentage points higher in November-April half-year periods than in May-October half-year periods. We also find the Sell in May effect is pervasive in financial markets.
Number of Pages in PDF File: 20
Keywords: Sell in May, calendar anomalies, market timing, market efficiency, time varying risk-aversion
JEL Classification: G14, G11
working papers series
Download This Paper
Date posted: July 23, 2012
; Last revised: March 18, 2013
Suggested CitationAndrade, Sandro C., Chhaochharia, Vidhi and Fuerst, Michael E., 'Sell in May and Go Away' Just Won't Go Away (July 1, 2012). Financial Analysts Journal, Forthcoming. Available at SSRN: http://ssrn.com/abstract=2115197 or http://dx.doi.org/10.2139/ssrn.2115197
|
| Feedback to SSRN (Beta) |
|
|
People who downloaded this paper also downloaded:
1.
Does Academic Research Destroy Stock Return Predictability?
By
R. David Mclean
and
Jeffrey Pontiff
2.
Does the Shiller-PE Work in Emerging Markets?
By
Joachim Klement
3.
Value Investing: Investing for Grown Ups?
By
Aswath Damodaran
4.
Which Anomalies are More Popular? And Why?
By
Byoung-hyoun Hwang
and
Baixiao Liu
5.
Beta-Arbitrage Strategies: When Do They Work, and Why?
By
Tony Berrada,
Reda Messikh, ...
6.
Low Risk Stocks Outperform within All Observable Markets of the World
By
Nardin Baker
and
Robert Haugen
7.
Best Ideas
By
Randolph Cohen,
Christopher Polk, ...
8.
Do Buy-Side Recommendations Have Investment Value?
By
Wesley Gray,
Steve Crawford, ...
9.
Do Investors Benefit from Selective Access to Management?
By
Brian Bushee,
Michael Jung, ...
10.
Does Inventory Productivity Predict Future Stock Returns? A Retailing Industry Perspective
By
Yasin Alan,
George Gao, ...
|
|
|
|
