Multi-National Evidence on Calendar Patterns in Stock Returns : An Empirical Case Study on Investment Strategy and the Halloween Effect

This research tries to find evidence for the Halloween effect by presenting an assessment of the profitability of the “Sell in May, and go away” investment strategy associated with this phenomenon. We present significant proof of the existence of the Halloween effect; it was observed in 29 of the 31 countries under study. There appears to be a difference in the seasonal returns between developed and emerging markets. Attention is also paid to the Halloween effect at the industry level. Here, a comparison between the “Sell in May, and go away” investment strategy and the buy-and-hold strategy proves the first to be superior