"Sell in may and go away" Just won't go away

Research output: Contribution to journalArticlepeer-review

31 Scopus citations

Abstract

The authors performed an out-of-sample test of the sell-in-May effect documented in previous research. Reducing equity exposure starting in May and levering it up starting in November persists as a profitable market-timing strategy. On average, stock returns are about 10 percentage points higher for November- April half-year periods than for May-October half-year periods. The authors also found that the sell-in-May effect is pervasive in financial markets.

Original languageEnglish (US)
Pages (from-to)94-105
Number of pages12
JournalFinancial Analysts Journal
Volume69
Issue number4
DOIs
StatePublished - Jul 2013

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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