The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle

By Ben Jacobsen, Sven Bouman. 2001

419 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b27797c5a17974f44fc15149f25c8b1e5b4b2220

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Citations in the corpus

Are Monthly Seasonals Real? A Three Century Perspective (2013, positive): “Bouman and Jacobsen (2002 ) develop a simple trading strategy based on the Halloween indicator and the Sell-in-May effect, which invests in a market portfolio at the end of October for six months and sells the portfolio at the beginning of May, using the proceeds to purchase risk free short term…”
Intraday Patterns in the Cross-Section of Stock Returns (2010, neutral): “In the Roll model there is no autocorrelation in returns at lags greater than k = 1.”
Fast profits: Investor sentiment and stock returns during Ramadan (2012, background): “Bouman and Jacobsen (2002) conclude that it is optimal for investors to pursue a ‘‘Sell in May and go away’’ strategy, staying in cash until the end of October and then investing in stocks, as the average stock returns during the November– April period are much higher compared to the other half-year”
Gone Fishin': Seasonality in Trading Activity and Asset Prices (2009, result): “We are, however, unable to distinguish between different types of heterogeneous agent models (beliefs versus liquidity) since these models generate similar predictions.”
Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns (2007, methodology): “When there are several investor types, and each type rebalances at a di¤erent point in time, the CCAPM in equation (7) will only hold approximately.”
Does gold offer a better protection against losses in sovereign debt bonds than other metals (2014, background): “This leads to increased purchases of gold during these months to hedge against the potential financial turmoil (see also Bouman and Jacobsen, 2002; Jacobsen and Zhang, 2012)6.”
The Financial Economics of Gold – A Survey (2015, result): “He finds an autumn effect akin to that found in equities by Bouman and Jacobsen (2002), Lucey and Zhao (2008) and Andrade (2012).”