The “Sell in May” effect: A review and new empirical evidence

Degenhardt, Thomas; Auer, Benjamin

doi:10.1016/j.najef.2017.09.003

Cited by 14 publications

(18 citation statements)

References 110 publications

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“…In addition, their results are confirmed by a considerable number of more recent studies (e.g. Guo et al, 2014;Carrazedo et al, 2016;Degenhardt and Auer, 2018). As an extension of the "Sell in May" effect found for stock market returns, a growing number of studies on further asset classes has been conducted.…”

Section: Introductionsupporting

confidence: 55%

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The “sell in May” effect: an empirical investigation of globally listed private equity markets

Bachmann

Tegtmeier

Gebhardt

et al. 2019

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Purpose The purpose of this paper is to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004–2017. Design/methodology/approach Ordinary least squares regressions, generalized autoregressive conditional heteroscedasticity regressions and robust regressions are used to investigate the existence of the “Sell in May” effect in globally listed private equity markets. Additionally, the authors conduct robustness checks by dividing the sample period into two subperiods: pre-financial and post-financial crisis periods. Findings The authors find limited statistically significant evidence for the “Sell in May” effect. In particular, the authors observed a statistically significant “Sell in May” effect when taking time-varying volatility into account. These findings indicate that the “Sell in May” effect is driven by time-varying volatility. By contrast, economic significance as measured by visual return inspection and the magnitude of the estimated “Sell in May” coefficients in combination with their positive signs was found to be considerable. Practical implications The findings are important for all kinds of investors and asset managers who are considering investing in listed private equity. Originality/value The authors present a novel study that examines the “Sell in May” effect for globally listed private equity markets by using LPX indices, offering valuable insight into this growing asset class.

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Section: Introductionsupporting

confidence: 55%

“…These studies have mainly focused on real estate securities (e.g. Brounen and Ben-Hamo, 2009;Hui et al, 2013;Hui and Chan, 2015) and commodity markets (Baur, 2013;Degenhardt and Auer, 2018). However, a significant variation in stock returns at different times of the year is commonly interpreted as a market anomaly.…”

Section: Introductionmentioning

confidence: 99%

The “sell in May” effect: an empirical investigation of globally listed private equity markets

Bachmann

Tegtmeier

Gebhardt

et al. 2019

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“…months from November to April) and the summer months. ***Significant at the 1 percent level In line with some of the major past studies (Dichtl and Drobetz, 2015;Degenhardt and Auer, 2018), the results of the present study have been subjected to certain tests of robustness. Specifically, three different robustness tests have been performed to validate the results obtained.…”

Section: Trading Month Effectmentioning

confidence: 68%

“…There are many studies that have analyzed the presence of different seasonal anomalies in stock returns ( Jacobs and Levy, 1988;Degenhardt and Auer, 2018). The presence of anomalies has been studied for developed as well as emerging markets (Kumar and Pathak, 2016;Rossi and Gunardi, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Analyzing seasonal anomalies for Israel: evidence from pre- and post-global financial crisis

Jaisinghani

Kaur

Inamdar³

2019

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Purpose The purpose of this paper is to analyze different seasonal anomalies for the Israeli securities markets for the pre- and post-global financial crisis periods. Design/methodology/approach The closing values of six indices of the Tel Aviv Stock Exchange (TASE) of Israel have been considered. The time frame ranges from 2000 to 2018. Further, the overall time frame has been segregated into pre- and post-financial crisis periods. The study employs dummy variable regression technique for assessing different calendar anomalies. Findings The results show evidence pertaining to different seasonal anomalies for the Israeli markets. The results specifically show that the anomalies change considerably across the pre- and post-financial crisis periods. The results are more apparent for three anomalies including the day of the week effect, the month of the year effect and the holiday effect. However, anomalies including the Halloween effect and the trading month effect are found to be insignificant across both pre- and post-financial crisis periods. Originality/value The study is first of its kind that analyzes different seasonal anomalies across pre- and post-financial crisis periods for the Israeli markets. The study provides newer insights about the overall return patterns observed in different indices of the TASE.

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“…The authors concluded that the signs of statistical significance of the effect are weak but seem economically significant. Degenhart and Auer (2018) examined the commodities market in addition to the stock market. They found that the Halloween effect exists in both commodities and shares but that the economic significance is limited.…”

Section: Research Into Seasonal Effects In Stock Marketsmentioning

confidence: 99%

Trick or treat? The Halloween effect in stock markets revisited

Magnússon

2020

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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 beginning in May than in the other half of the year. This effect has shown persistency over time and is seemingly large enough to be a candidate for economic significance.Design/methodology/approachThe authors analyze monthly data from 13 countries for the period 1958–2019, using the Kruskal–Wallis test, t-test and a boot-strap based estimator. In addition, we look a sub-periods for a larger group of countries and include data on both stock returns and interest rates.FindingsThe authors find a strong seasonal effect in a large majority of the markets, with the period from November to April seeing higher returns than the other six months of the year. This result also holds for a larger sample of countries based on data from a shorter period. The effect is found to be economically significant in most countries in the sample. The authors examine one potential explanation for seasonal variation in stock returns, i.e. seasonal affective disorder (SAD). The authors find some, albeit weak, support for this hypothesis.Originality/valueThis paper uses a rich dataset that has not been used for this purpose before and robust tests of statistical and economic significance to shed light on an important aspect of global financial markets.

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The “Sell in May” effect: A review and new empirical evidence

Cited by 14 publications

References 110 publications

The “sell in May” effect: an empirical investigation of globally listed private equity markets

The “sell in May” effect: an empirical investigation of globally listed private equity markets

Analyzing seasonal anomalies for Israel: evidence from pre- and post-global financial crisis

Trick or treat? The Halloween effect in stock markets revisited

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