The “Sell in May” effect: A review and new empirical evidence
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DOI: 10.1016/j.najef.2017.09.003
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Cited by:
- Benjamin R. Auer, 2019. "Does the strength of capital market anomalies exhibit seasonal patterns?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 91-103, January.
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More about this item
Keywords
“Sell in May” effect; Dummy regression; Robust regression; GARCH regression; Individual stocks; Commodity futures;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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