“Sell in May and Go Away” Just Won’t Go           Away

Andrade, Sandro C.; Chhaochharia, Vidhi; Fuerst, Michael E.

doi:10.2469/faj.v69.n4.4

Cited by 58 publications

(48 citation statements)

References 15 publications

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“…Results obtained in the research regarding the sell-in-May-and-go-away effect on the equity market are consistent with those of Bouman and Jacobsen (2002), Jacobsen and Zhang (2012), Andrade et al (2013), Swinkels and van Vliet (2012), Zhang and Jacobsen (2012), Dzhabarov and Ziemba (2010) and Kaeppel (2009, pp. 220-246).…”

Section: Discussionsupporting

confidence: 74%

“…The existence of Halloween effect was affirmed by several more recent studies (Jacobsen & Zhang, 2012;Andrade et al, 2013;Swinkels & van Vliet, 2012;Zhang & Jacobsen, 2012;Dzhabarov & Ziemba, 2010) but Dichtl and Drobetz (2014) could not confirm the fact, that the sell-in-May-and-go-away strategy generated higher rates of return compared to those of buy-and-hold. According to results of Zhang and Jacobsen (2012), the magnitude of the Halloween effect was fluctuating over time and varied depending on sample data.…”

Section: Literature Reviewmentioning

confidence: 82%

“…Furthermore the rates of return calculated for sell-in-May-and-go-away strategy, outperformed results for buy-and-hold strategy in the analyzed periods. The investment strategy analyzed by Andrade et al (2013) based on SP 500 index, resulted in higher returns as well as in terms of Sharpe ratio for Halloween effect than in case of passive strategy. According to studies of Jacobsen and Zhang (2012), the risk-adjusted returns were higher in case of Halloween than buy-and-hold strategy on analyzed 108 equity markets.…”

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

Borowski¹

2015

IJEF

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The problem of efficiency of financial markets has always been one of the most important, including, among others, calendar effects. The sell-in-May-and-go-away (also called Halloween) effect is worth considering from the point of view of assessing the portfolio management effectiveness and behavioral finance. This paper tests the sell-in-May-and-go-away strategy and its modifications on the market of 122 equity indices and 39 commodities in the eight approaches, depending on the investment time horizon (October-15 th May, November-15 th May, October-1 st May, November-1 st May) and types of computed rates of return (accrued rates of return and average daily geometric rates of return). Calculations presented in this paper indicate the presence of the sell-in-May-and-go-away effect on the analyzed markets in the classic time frame, as well as in the different time frames.

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Section: Discussionsupporting

confidence: 74%

Section: Literature Reviewmentioning

confidence: 82%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

Borowski¹

2015

IJEF

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“…In 2/3 of the sectors, the difference was statistically significant. Andrade et al (2013) concluded that the Halloween effect affects not only the equity values but also the volatility and credit risk premiums. Zhang and Jacobson (2013) doi: 10.17221/45/2016-AGRICECON analysed more than 300 years of the Great Britain share market data and they concluded that various calendar anomalies were present over time, although their extent and significance has been changing significantly.…”

Section: Doi: 1017221/45/2016-agriceconmentioning

confidence: 99%

The Halloween effect on the agricultural commodities markets

Árendáš¹

2017

AGR ECON-CZECH

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Th e fi nancial markets are impacted by various seasonal anomalies. One of the best known of them is the Halloween eff ect. Th e Halloween eff ect means that the summer period (May-October) asset returns are lower compared to the winter period (November-April) asset returns. In the paper, price series of 20 major agricultural commodities over the 1980-2015-time period are tested for the presence of the Halloween eff ect. Th e data show that 15 out of the 20 commodities recorded a higher average winter period than summer period returns and in 10 cases, the diff erences are statistically signifi cant. Th e data also show that out of the 5 commodities with higher summer period returns, only in the case of poultry the diff erences are statistically signifi cant.

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“…These two studies ignore the Israeli market. Andrade, Chhaochharia, and Fuerst (2013) extend the sample period for the same markets analyzed by Bouman and Jacobsen (2002) and find that the "Sell in May" effect is pervasive in financial markets even in the 10 years following the publication of Bouman and Jacobsen and in the same markets. Jacobsen and Marquering (2008) show that results of prior literature attempting to explain stock return patterns by weather induced mood shifts of investors, might be data-driven inference.…”

mentioning

confidence: 99%

You Can Do Better than “Sell in May” It Is not Halloween, but It May Be Passover and Hanukah

Afik¹,

Lahav²,

Sayar³

et al. 2016

IJEF

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Sell in May, known also as the Halloween effect, continues to persist in many parts of the world and to puzzle researchers and practitioners. Prior research found that in a few certain countries this effect is not statistically significant or does not exist. This paper shows that although Halloween effect is not significant in Israel, it can be easily replaced by another profitable calendar strategy, holding the market index just for the months of April and December each year and investing the money in the risk-free asset for the rest of the year. This strategy may not persist in the future, however it is puzzling how it prevailed over 20 years since the inception of a prime Tel Aviv market index. We show that the superior performance of this strategy compared to its natural benchmarks is robust using risk-adjusted measures over multiple sub-periods in our sample.

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“Sell in May and Go Away” Just Won’t Go Away

Cited by 58 publications

References 15 publications

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

Analysis of Sell-in-May-and-Go-Away Strategy on the Markets of 122 Equity Indices and 39 Commodities

The Halloween effect on the agricultural commodities markets

You Can Do Better than “Sell in May” It Is not Halloween, but It May Be Passover and Hanukah

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