Are Stock Markets Really so Inefficient? The Case of the 'Halloween Indicator'

17 Pages Posted: 11 Aug 2013 Last revised: 12 Dec 2013

See all articles by Hubert Dichtl

Hubert Dichtl

dichtl research & consulting GmbH; University of Hamburg

Wolfgang Drobetz

University of Hamburg

Date Written: September 2013


The old and simple investment strategy “Sell in May and Go Away” (also referred to as the “Halloween effect”) enjoys an unbroken popularity. Recent studies suggest that the Halloween effect even strengthened rather than weakened since its first publication by Bouman and Jacobsen (2002). We implement regression models as well as Hansen’s (2005) “Superior Predictive Ability” test to analyze whether stock markets are really so inefficient. In line with the predictions of market efficiency, our results reject the hypothesis that a trading strategy based on the Halloween effect significantly outperforms.

Keywords: Sell in May, stock market anomaly, bootstrap simulation, statistical inference

JEL Classification: G11, G12, G14

Suggested Citation

Dichtl, Hubert and Drobetz, Wolfgang, Are Stock Markets Really so Inefficient? The Case of the 'Halloween Indicator' (September 2013). Finance Research Letters, Forthcoming, Available at SSRN: or

Hubert Dichtl

dichtl research & consulting GmbH ( email )

Am Bahnhof 7
65812 Bad Soden am Taunus


University of Hamburg ( email )

Moorweidenstr. 18
Hamburg, 20148

Wolfgang Drobetz (Contact Author)

University of Hamburg ( email )

Moorweidenstrasse 18
Hamburg, 20148

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