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

38 Pages Posted: 21 May 2014  

Hubert Dichtl

Alpha Portfolio Advisors

Wolfgang Drobetz

University of Hamburg

Date Written: April 20, 2014

Abstract

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: https://ssrn.com/abstract=2439280 or http://dx.doi.org/10.2139/ssrn.2439280

Hubert Dichtl

Alpha Portfolio Advisors ( email )

65812
Germany

Wolfgang Drobetz (Contact Author)

University of Hamburg ( email )

Von-Melle-Park 5
Hamburg, 20146
Germany

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