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

Abstract

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.

The effect of induced mood on traders’ preferences in asset markets – experimental evidence

“…Yuan et al (2006) propose lunar phases as a proxy for mood effects and report results from a sample of 48 countries showing that stock returns vary significantly depending on the lunar cycle. The list continues with daily effects (Gibbons and Hess, 1981), seasonal effects (Bouman and Jacobsen, 2002;Afik et al, 2016), holiday effects (Ariel, 1990) and more.…”