Waggle, Doug; Agrrawal, Pankaj - In: Managerial Finance 44 (2018) 9, pp. 1070-1082
Purpose: The purpose of this paper is to provide a plausible explanation for the “sell in May” anomaly observed in US stock markets. A heretofore unexplained strategy of selling stock in May and not returning to the market until November has been shown to outperform a simple strategy of...