The Halloween Effect in US Sectors

38 Pages Posted: 10 May 2006 Last revised: 18 May 2009

See all articles by Ben Jacobsen

Ben Jacobsen

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

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Date Written: May 8, 2006

Abstract

All US stock market sectors and industries perform better during winter than during summer in our sample from 1926-2005. In more than two-third of all sectors and industries this difference in summer and winter returns, known as the Halloween effect, is statistically significant and in half of all sectors and industries risk premia are negative during summer. However, while all sectors and industries show this effect, there are large differences across sectors and industries. The effect is almost absent in sectors related to consumer consumption but strong in production sectors. We illustrate how these differences between sectors might be used to improve the risk return trade off using sector rotation based on Fidelity sector funds and show how an investor might have benefited from such a trading strategy.

Keywords: Sectors, Industries, Stock Markets, Halloween effect, Sell in May, Sector Rotation

JEL Classification: G10, G11, G12, G14

Suggested Citation

Jacobsen, Ben and Visaltanachoti, Nuttawat, The Halloween Effect in US Sectors (May 8, 2006). The Financial Review, Forthcoming. Available at SSRN: https://ssrn.com/abstract=901088

Ben Jacobsen

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

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB
Netherlands

Massey University ( email )

Auckland
New Zealand

Nuttawat Visaltanachoti (Contact Author)

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

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