A New Puzzle Piece for the “Sell in May, and Go Away” Anomaly: Regulatory Disclosures

Jan L. Schroeder ()
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Jan L. Schroeder: Department of Finance, TU Dortmund, 44227 Dortmund, Germany

IJFS, 2025, vol. 13, issue 4, 1-28

Abstract: We propose a new puzzle piece for the Halloween effect (“Sell in May and Go Away”) by identifying a seasonal pattern in SEC regulatory disclosures that aligns with the effect’s summer and winter periods. From 2004 to 2023, SEC filing volumes were 17% higher in winter (November–April) than in summer (May–October). Winter also sees a 22% rise in insider trading, 13% more private securities offerings, 12% more activist investor activity, a 96% increase in shareholder meetings, and 473% more annual reports. February consistently shows the highest number of disclosures, while September shows the lowest. Similar patterns across European markets suggest global consistency. As regulatory filings contain material price-relevant information, this seasonal disclosure pattern offers a new contributing factor to the Halloween effect puzzle.

Keywords: halloween effect; sell in May and go away; SEC filings; market anomaly (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2025
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