Should Investors Be Fearful of the Halloween Effect?
Fuller, Phillip, Geungu Yu and Denis Boudreaux. “Should Investors be Fearful of the Halloween Effect?” Southwestern Economic Review (Spring 2012) 39 (1): 31-40.
10 Pages Posted: 4 Jun 2017
Date Written: June 2, 2017
This study is to determine if a reported seasonal anomaly referred to as the Halloween Effect provides a profit making opportunity for investors. The Halloween Effect hypothesis recommends owning stocks for the period from November through April with the other months avoided, practically making it. a Sell-in-May strategy. Studies by Bouman and Jacobsen (2002), Witte (2010), and Swargerman and Novakovic (2010) supported existence of the Halloween Effect. However, this study indicates that stock markets in the United States do not allow exploitable opportunities related to the Halloween Effect, so the stock markets are efficient, dismissing the alleged seasonal anomaly
Keywords: Halloween effect, Sell in MAY, summer, efficient market
JEL Classification: G!2
Suggested Citation: Suggested Citation