This study examines whether the “Sell in May and Go Away” (or Halloween) trading strategy still offers an opportunity to earn abnormal returns. In contrast to prior studies, we consider sample periods during which adequate investment instruments were available for an effective implementation...

This study compares the performance of different rebalancing strategies under realistic market conditions by reporting statistical significance levels. Our analysis is based on historical data from the United States, the United Kingdom, and Germany and comprises three different classes of...

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)....

Portfolio insurance strategies are used on both the institutional and the retail side of the asset management industry. While standard utility theory struggles to provide an explanation, this study justifies the popularity of portfolio insurance strategies in a behavioral finance context. We run...

This study examines the empirical relationship between the volatility indices VDAX as well as VDAX-New and the stock market index DAX. Extending prior international evidence, we document a negative relationship between the implied volatility indexes and the stock market index for the German...

Since the subprime crisis, portfolios based on risk diversification are of great interest to both academic researchers and market practitioners. They have also been employed by several asset management firms and their performance appears promising. Since they do not rely on estimates of expected...

Multidivisional and decentralized firms often operate inefficiently. In most cases, central management's instruments to influence its branches' behavior are limited. Although relative performance evaluation has been argued to be of great use in defining incentive mechanisms, such approaches...

Through an implementation of the 2-level-approach due to Vesanto & Alhoniemi (2000), this paper addresses a number of problems typically seen when visualized interpretation of Self Organizing Maps (SOM) are applied to derive a systematic classification system in the hedge fund literature....