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

34 Pages Posted: 15 Apr 1998 Last revised: 31 Oct 2009

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; Massey University

Sven Bouman

Saemor Capital

Multiple version iconThere are 2 versions of this paper

Date Written: July 1, 2001


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 (July 1, 2001). Available at SSRN: or

Ben Jacobsen (Contact Author)

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

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB

Massey University ( email )

New Zealand

Sven Bouman

Saemor Capital ( email )

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


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