Are stock markets really so inefficient? The case of the “Halloween Indicator”

Hubert Dichtl and Wolfgang Drobetz

Finance Research Letters, 2014, vol. 11, issue 2, 112-121

Abstract: The old and simple investment strategy “Sell in May and Go Away” (also referred to as the “Halloween effect”) enjoys an unbroken popularity. Recent studies suggest that the Halloween effect even strengthened rather than weakened since its first publication by Bouman and Jacobsen (2002). We implement regression models as well as Hansen’s (2005) “Superior Predictive Ability” test to analyze whether stock markets are really so inefficient. In line with the predictions of market efficiency, our results reject the hypothesis that a trading strategy based on the Halloween effect significantly outperforms.

Keywords: Sell in May; Stock market anomaly; Reality check; Superior Predictive Ability (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G17 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:11:y:2014:i:2:p:112-121

DOI: 10.1016/j.frl.2013.10.001

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