Dichtl, Hubert; Drobetz, Wolfgang - In: Finance Research Letters 11 (2014) 2, pp. 112-121
The old and simple investment strategy “Sell in May and Go Away” (also referred to as the “Halloween effect”) enjoys an unbroken popularity. Recent studies suggest that the Halloween effect even strengthened rather than weakened since its first publication by Bouman and Jacobsen (2002)....