85 Pages Posted: 2 Oct 2012 Last revised: 2 Oct 2014
Date Written: 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).
Keywords: seasonal anomalies, sell in May, Halloween indicator, long time series data
JEL Classification: G10, G14
Suggested Citation: 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