The “Sell in May and Go Away” (or Halloween) strategy continues to enjoy great popularity in practice. We explore whether this simple trading rule still offers an opportunity to earn abnormal returns. In contrast to prior studies, we consider sample periods during which adequate investment...

Using a large dataset of firms from 35 countries, we study the country-level determinants of institu-tional investors' investment horizons around the world. We document that an equity investor-friendly institutional environment is more important for long-term investors, while short-term...