Sell in May and Go Away: Still Good Advice for Investors?

38 Pages Posted: 21 May 2014

See all articles by Hubert Dichtl

Hubert Dichtl

dichtl research & consulting GmbH; University of Hamburg

Wolfgang Drobetz

University of Hamburg

Date Written: April 20, 2014


The “Sell in May and Go Away” (or Halloween) strategy continues to enjoy great popularity in practice. We explore whether this simple trading rule still offers an opportunity to earn abnormal returns. In contrast to prior studies, we consider sample periods during which adequate investment instruments were available for an effective implementation of the Halloween strategy. In addition, we account for when the first study confirming the Halloween effect was published in a top academic journal. To use the limited data in the most efficient way, and to avoid possible data-snooping biases, we implement a bootstrap simulation approach. We find that the Halloween effect strongly weakened or even diminished in recent years. Our results are robust across different countries and against various parameter variations. Overall, our findings support the theory of efficient capital markets.

Keywords: Sell in May, Halloween effect, bootstrap simulation, statistical inference, investment strategy

JEL Classification: G11, G12, G14

Suggested Citation

Dichtl, Hubert and Drobetz, Wolfgang, Sell in May and Go Away: Still Good Advice for Investors? (April 20, 2014). 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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