Haggard, K. Stephen; Witte, H. Douglas - In: International Review of Financial Analysis 19 (2010) 5, pp. 379-387
Research documents higher stock returns in November through April than for the rest of the year. This anomaly is known as the "Halloween effect" and results in the following trading rule: sell stocks in early May, invest in T-bills, and re-invest in stocks on Halloween. In contrast to recent...