The Halloween indicator, 'Sell in May and go Away': An Even Bigger Puzzle
New Zealand Institute of Advanced Study
Cherry Yi Zhang
Nottingham University Business School China; Massey University - School of Economics and Finance
October 1, 2014
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
Date posted: October 2, 2012 ; Last revised: October 2, 2014
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