Abstract

http://ssrn.com/abstract=2115197
 
 

References (19)



 
 

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'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





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Date posted: July 23, 2012 ; Last revised: March 18, 2013

Suggested Citation

Andrade, Sandro C. and 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

Contact Information

Sandro C. Andrade (Contact Author)
University of Miami - Department of Finance ( email )
P.O. Box 248094
Coral Gables, FL 33124-6552
United States
HOME PAGE: http://moya.bus.miami.edu/~sandrade/
Vidhi Chhaochharia
University of Miami ( email )
514 Jenkins Building
Miami, FL 33124
United States
Michael E. Fuerst
University of Miami ( email )
Coral Gables, FL 33124
United States
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