'Sell in May and Go Away' Just Won't Go Away

20 Pages Posted: 23 Jul 2012 Last revised: 18 Mar 2013

Sandro C. Andrade

University of Miami - Department of Finance

Vidhi Chhaochharia

University of Miami

Michael E. Fuerst

University of Miami

Date Written: July 1, 2012

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.

Keywords: Sell in May, calendar anomalies, market timing, market efficiency, time varying risk-aversion

JEL Classification: G14, G11

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: https://ssrn.com/abstract=2115197 or http://dx.doi.org/10.2139/ssrn.2115197

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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