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The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle

Ben Jacobsen

New Zealand Institute of Advanced Study

Sven Bouman

Saemor Capital

July 1, 2001

We document the existence of a strong seasonal effect in stock returns based on the popular market saying 'Sell in May and go away', also known as the 'Halloween indicator'. According to these words of market wisdom, stock market returns should be higher in the November-April period than those in the May-October period. Surprisingly, we find this inherited wisdom to be true in 36 of the 37 developed and emerging markets studied in our sample. The 'Sell in May' effect tends to be particularly strong in European countries and is robust over time. Sample evidence, for instance, shows that in the UK the effect has been noticeable since 1694. While we have examined a number of possible explanations, none of these appears to convincingly explain the puzzle.

Number of Pages in PDF File: 34

Keywords: Stock returns, Sell in May, Return predictability, Halloween indicator

JEL Classification: G1

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Date posted: April 15, 1998 ; Last revised: October 31, 2009

Suggested Citation

Jacobsen, Ben and Bouman, Sven, The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle (July 1, 2001). Available at SSRN: http://ssrn.com/abstract=76248 or http://dx.doi.org/10.2139/ssrn.76248

Contact Information

Ben Jacobsen (Contact Author)
New Zealand Institute of Advanced Study ( email )
New Zealand
Sven Bouman
Saemor Capital ( email )
Prinses Margrietplantsoen 44
The Hague, 2595 BR
+31707568071 (Phone)
+31707568079 (Fax)
HOME PAGE: http://www.saemor.com
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