 To outperform: Sell-in-May enhanced with bond investmentsChih-Hsiang Hsu and Donald Lien Pacific-Basin Finance Journal, 2025, vol. 90, issue C Abstract: This research investigates the Halloween Effect across global equity markets utilizing exchange-traded funds (ETFs) as the instrument. The study reveals three primary findings. Firstly, it confirms the presence of the Halloween Effect in global equity ETFs over a span of two decades, indicating stronger returns during the winter months. Secondly, the analysis expands to include liquid treasury bond ETFs, revealing no significant seasonal effect and suggesting alternative summer investment avenues. Thirdly, a sell-in-May strategy, incorporating both equity and bond ETFs, is backtested, demonstrating its ability to outperform traditional buy-and-hold strategies in terms of returns and risk over the past twenty years. Particularly noteworthy is the observation that long-term bond ETFs exhibit higher returns during the summer period, while short-term bond ETFs offer relatively safer options. These findings contribute to a more comprehensive understanding of seasonal investing strategies, offering valuable insights for investors seeking to outperform traditional approaches. Keywords: Sell-in-May; Halloween effect; Return seasonality; ETFs (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003639 DOI: 10.1016/j.pacfin.2024.102611 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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