Trick or treat? The Halloween effect in stock markets revisited

PurposeThe subject of this paper is seasonal variation in the return on stocks. The phenomenon we analyze here is known as the “Halloween effect” or the trading strategy “sell in May and go away.” The authors test the hypothesis that stock markets tend to return considerably less in the six months b...

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Veröffentlicht in:	Managerial finance 2021-01, Vol.47 (2), p.209-226
1. Verfasser:	Magnusson, Gylfi
Format:	Artikel
Sprache:	eng
Schlagworte:	Datasets Halloween Hypotheses Interest rates Rates of return Securities markets Statistical significance Stock exchanges
Online-Zugang:	Volltext
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