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

85 Pages Posted: 2 Oct 2012 Last revised: 2 Oct 2014

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; New Zealand Institute of Advanced Study

Cherry Yi Zhang

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

Date Written: 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).

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

JEL Classification: G10, G14

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: https://ssrn.com/abstract=2154873 or http://dx.doi.org/10.2139/ssrn.2154873

Ben Jacobsen

Tilburg University - TIAS School for Business and Society ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB
Netherlands

New Zealand Institute of Advanced Study ( email )

Auckland
New Zealand

Cherry 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

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