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

@article{Jacobsen2001TheHI,
  title={The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle},
  author={Ben Jacobsen and Sven Bouman},
  journal={International Finance},
  year={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… 

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