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Halloween

Bouman and Jacobsen (2002) revealed that a trading strategy of tactical asset allocation based on the old saying “Sell in May and go away” generated abnormal returns in comparison with stock market indices in most countries in their study.

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• BOUMAN, Sven and Ben JACOBSEN, 2002. The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle, The American Economic Review, Vol. 92, No. 5. (Dec., 2002), pp. 1618-1635. [Cited by 24] (5.59/year)
  
  
• MABERLY, Edwin D. and Raylene M. PIERCE, Stock Market Efficiency Withstands another Challenge: Solving the “Sell in May/Buy after Halloween” Puzzle, 2004.
  
  
• MABERLY, Edwin D. and Raylene M. PIERCE, The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly, 2004.