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Halloween effect and active fund management

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  • Kenourgios, Dimitris
  • Samios, Yiannis

Abstract

This paper investigates the existence of a calendar anomaly in stock market returns, namely the Halloween Effect, corroborated by Bouman & Jacobsen (2002). According to this, returns during May to October are extremely affected by this phenomenon, and hence are lower in comparison with the respective of November to April. Using a sample of 118 European equity funds for the period 2008–2017, we extend previous research by focusing, for the first time to the best of our knowledge, on the field of mutual funds. We provide evidence of a robust Halloween effect in the European equity mutual funds market, even after controlling for other seasonal anomalies and dividing our sample according to the size of the funds. We also show that an investment based on such a seasonal anomaly can be more profitable and effective than the Buy & Hold Strategy without any risk increase. The significant higher returns in winter months are also resulting from close to zero or negative average returns during May to October as well as high positive returns during November to April. It is finally concluded that fund managers do not seem to decrease their risk exposure to the equity market during summer periods due to the existence of this anomaly.

Suggested Citation

  • Kenourgios, Dimitris & Samios, Yiannis, 2021. "Halloween effect and active fund management," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 534-544.
    • Handle: RePEc:eee:quaeco:v:80:y:2021:i:c:p:534-544
    DOI: 10.1016/j.qref.2021.04.006
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    More about this item

    Keywords

    Halloween effect; Mutual funds; Calendar anomalies; Halloween trading strategy;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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