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Abstract: We document the existence of a new seasonal effect in stock returns based on the popular market wisdom 'Sell in May and go away', also known as the 'Halloween indicator'. According to this market wisdom, stock market returns should be higher in the NovemberApril period than the May-October period. Surprisingly, we find this wisdom to be true in 36 of the 37 developed and emerging markets in our sample. This `Sell in May' effect tends to be particularly strong in European countries and is... (Update)
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BibTeX entry: (Update)
@misc{ bouman-halloween,
author = "Sven Bouman and Ben Jacobsen",
title = "The Halloween Indicator, `Sell in May and Go Away': Another Puzzle",
url = "citeseer.ist.psu.edu/bouman99halloween.html" }
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