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

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1 July 2001
Source: Social Science Research Network
Ben Jacobsen Sven Bouman

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Summary

The authors 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 this adage, stock market returns should be higher in the November-April period than those in the May-October period. The authors confirm this to be true in 36 of the 37 developed and emerging markets studied in their sample.
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