arbiter
JournalsPricingAccount

“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets

Tomasz Schabek & Henrique Castro

Dynamic Econometric Models2016https://doi.org/10.12775/dem.2017.001article
ABDC C
Weight
0.59

What the paper says

Described in Bauman and Jacobsen (2002) stock market anomaly still remains unexplained. In long time series regressions and wide geographical spread research “Halloween effect” is significant on 19 amongst 73 markets, but also in 11 amongst 23 with long time series data. Data shows that abnormal returns could be realized also in strategies staring in October, November and December. We conclude that even with control of weather (sun hours), behavioral (sentiment index, number of IPOs) and macroeconomic (industrial production) factors, the effect persists.

8 citations

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.12775/dem.2017.001

Or copy a formatted citation

@article{tomasz2016,
  title        = {{“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets}},
  author       = {Tomasz Schabek & Henrique Castro},
  journal      = {Dynamic Econometric Models},
  year         = {2016},
  doi          = {https://doi.org/https://doi.org/10.12775/dem.2017.001},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

“Sell not only in May”. Seasonal Effect on Emerging and Developed Stock Markets

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.59

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.68 × 0.4 = 0.27
M · momentum0.65 × 0.15 = 0.10
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.