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The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle

Posted: 28 Mar 2002 Last revised: 30 Oct 2009

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; New Zealand Institute of Advanced Study

Sven Bouman

Saemor Capital

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Date Written: 2002

Abstract

We document the existence of a strong seasonal effect in stock returns based on the popular market saying Sell in May and go away, also known as the Halloween indicator. According to these words of market wisdom, stock market returns should be higher in the November-April period than those in the May-October period. Surprisingly, we find this inherited wisdom to be true in 36 of the 37 developed and emerging markets studied in our sample. The Sell in May effect tends to be particularly strong in European countries and is robust over time. Sample evidence, for instance, shows that in the UK the effect has been noticeable since 1694. While we have examined a number of possible explanations, none of these appears to convincingly explain the puzzle.

Keywords: Stock returns, Sell in May, Return predictability, Halloween indicator

JEL Classification: G1

Suggested Citation

Jacobsen, Ben and Bouman, Sven, The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle (2002). American Economic Review, Vol. 92, No. 5, pp. 1618-1635, December 2002. Available at SSRN: https://ssrn.com/abstract=300700

Ben Jacobsen (Contact Author)

Tilburg University - TIAS School for Business and Society ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB
Netherlands

New Zealand Institute of Advanced Study ( email )

Auckland
New Zealand

Sven Bouman

Saemor Capital ( email )

Prinses Margrietplantsoen 44
The Hague, 2595 BR
Netherlands
+31707568071 (Phone)
+31707568079 (Fax)

HOME PAGE: http://www.saemor.com

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