Abstract

http://ssrn.com/abstract=2154873
 
 

References (33)



 
 

Citations (2)



 


 



The Halloween indicator, 'Sell in May and go Away': An Even Bigger Puzzle


Ben Jacobsen


University of Edinburgh - Business School; New Zealand Institute of Advanced Study

Cherry Yi Zhang


Nottingham University Business School China; Massey University - School of Economics and Finance

October 1, 2014


Abstract:     
Our simple new test for the Sell in May effect shows it not only defies stock market efficiency but also challenges the existence of a positive risk return trade off. When we examine the effect using all historical data for all stock market indices worldwide, we only find evidence of a significant positive ‘risk return’-trade-off during summer (May-October) in Mauritius. Pooling all country data we find excess returns during summer are significantly negative (-1.2% based on 33,348 monthly returns). Over the full year we find a positive estimate for the equity premium of 3.7% annually (t-value 7.65).

Number of Pages in PDF File: 85

Keywords: seasonal anomalies, sell in May, Halloween indicator, long time series data

JEL Classification: G10, G14

working papers series





Download This Paper

Date posted: October 2, 2012 ; Last revised: October 2, 2014

Suggested Citation

Jacobsen, Ben and Zhang, Cherry Yi, The Halloween indicator, 'Sell in May and go Away': An Even Bigger Puzzle (October 1, 2014). Available at SSRN: http://ssrn.com/abstract=2154873 or http://dx.doi.org/10.2139/ssrn.2154873

Contact Information

Ben Jacobsen
University of Edinburgh - Business School ( email )
University of Edinburgh
29 Buccleuch Place
Edinburgh, Scotland EH8 9JS
UNITED KINGDOM
New Zealand Institute of Advanced Study ( email )
Auckland
New Zealand
Cherry Yi Zhang (Contact Author)
Nottingham University Business School China ( email )
199 Taikang East Rd.
Ningbo, 315100
China

Massey University - School of Economics and Finance ( email )
New Zealand
Feedback to SSRN


Paper statistics
Abstract Views: 10,527
Downloads: 2,276
Download Rank: 2,838
References:  33
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.328 seconds