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Stock market efficiency withstands another challenge : solving the “sell in May/buy after Halloween” puzzle

Maberly, Edwin D. and Pierce, Raylene M. 2004, Stock market efficiency withstands another challenge : solving the “sell in May/buy after Halloween” puzzle, Econ journal watch, vol. 1, no. 1, pp. 29-46.

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Title Stock market efficiency withstands another challenge : solving the “sell in May/buy after Halloween” puzzle
Author(s) Maberly, Edwin D.
Pierce, Raylene M.
Journal name Econ journal watch
Volume number 1
Issue number 1
Start page 29
End page 46
Total pages 18
Publisher Econ Journal Watch
Place of publication Tallahassee, Fl
Publication date 2004-04
ISSN 1933-527X
Summary Examining the years 1970 to 1998, Bouman and Jacobsen (2002) document unusually high monthly returns during the November-April periods for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. Their research suggests that the Halloween effect represents an exploitable anomaly and has negative implications for claims of stock market efficiency.

Re-examining Bouman and Jacobsen’s empirical results for the U.S. reveals that their results are driven by two outliers, the “Crash” of October 1987 and the collapse of the hedge fund Long-Term Capital Management in August 1998. After inserting a dummy variable to account for the impact of the two identified outliers, the Halloween effect becomes statistically insignificant. This anomaly is not economically exploitable for U.S. equity markets. We extend the research to the S&P 500 futures contract and find no evidence of an exploitable Halloween effect over the period April 1982-April 2003.
Language eng
Field of Research 150205 Investment and Risk Management
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30023932

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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