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You Can Do Better than ¡°Sell in May¡±It Is not Halloween, but It May Be Passover and Hanukah

Author

Listed:
  • Zvika Afik
  • Yaron Lahav
  • Efi Sayar
  • Rami Yosef

Abstract

Sell in May, known also as the Halloween effect, continues to persist in many parts of the world and to puzzle researchers and practitioners. Prior research found that in a few certain countries this effect is not statistically significant or does not exist. This paper shows that although Halloween effect is not significant in Israel, it can be easily replaced by another profitable calendar strategy, holding the market index just for the months of April and December each year and investing the money in the risk-free asset for the rest of the year. This strategy may not persist in the future, however it is puzzling how it prevailed over 20 years since the inception of a prime Tel Aviv market index. We show that the superior performance of this strategy compared to its natural benchmarks is robust using risk-adjusted measures over multiple sub-periods in our sample.

Suggested Citation

  • Zvika Afik & Yaron Lahav & Efi Sayar & Rami Yosef, 2016. "You Can Do Better than ¡°Sell in May¡±It Is not Halloween, but It May Be Passover and Hanukah," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(10), pages 121-129, October.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:10:p:121-129
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    References listed on IDEAS

    as
    1. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    2. Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.
    3. Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December.
    4. Ronald Doeswijk, 2008. "The Optimism Cycle: Sell in May," De Economist, Springer, vol. 156(2), pages 175-200, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    event studies; emerging markets; calendar anomalies; Sell-in-May; holiday effects; monthly effects;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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