"Sell in May and Go Away" Just Won't Go Away

The authors performed an out-of-sample test of the sell-in-May effect documented in previous research. Reducing equity exposure starting in May and levering it up starting in November persists as a profitable market-timing strategy. On average, stock returns are about 10 percentage points higher for...

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Veröffentlicht in:	Financial analysts journal 2013-07, Vol.69 (4), p.94-105
Hauptverfasser:	Andrade, Sandro C., Chhaochharia, Vidhi, Fuerst, Michael E.
Format:	Artikel
Sprache:	eng
Schlagworte:	Calendars Capital market Coefficients Credit risk Currencies Data mining Economic conditions Economic forecasts Efficient markets Equity Equity Investments Estimates Financial markets Hypotheses Investment analysis Investment risk Investors Personal finance Rates of return Risk aversion Risk premiums Securities markets Standard error Statistical significance Stock exchanges Stock market indexes Stock returns Studies
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Zusammenfassung:	The authors performed an out-of-sample test of the sell-in-May effect documented in previous research. Reducing equity exposure starting in May and levering it up starting in November persists as a profitable market-timing strategy. On average, stock returns are about 10 percentage points higher for November–April half-year periods than for May–October half-year periods. The authors also found that the sell-in-May effect is pervasive in financial markets.
ISSN:	0015-198X 1938-3312
DOI:	10.2469/faj.v69.n4.4