The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time

Cherry Y. Zhang and Ben Jacobsen

Journal of International Money and Finance, 2021, vol. 110, issue C

Abstract: To answer the sceptics, we use all historical data (62962 observations) on all stock market indices worldwide to verify the robustness of the so-called Halloween Indicator or Sell in May effect. The effect seems remarkably robust with returns on average 4% higher during November-April period than during May-October. A new test for the effect offers some additional insights. Worldwide excess returns during summer seem negative (around −1%) and often significantly so suggesting a flat or negative risk return relation. Only for Mauritius do we find a significantly positive risk return relation during May-October. Our dataset also allows for a new (upper bound) estimate for the equity premium of around 4%.

Keywords: Sell in May; Long time series data; Seasonal anomalies; Halloween indicator (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302242

DOI: 10.1016/j.jimonfin.2020.102268

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