Title

The Halloween effect: Trick or treat?

Abstract

Research documents higher stock returns in November through April than for the rest of the year. This anomaly is known as the "Halloween effect" and results in the following trading rule: sell stocks in early May, invest in T-bills, and re-invest in stocks on Halloween. In contrast to recent studies, we show that the Halloween effect is robust to consideration of outliers and the "January effect." Additionally, we show that investing in a "Halloween portfolio" provides risk-adjusted returns in excess of buy and hold equity returns even after consideration of transaction costs.

Department(s)

Finance and General Business

Document Type

Article

DOI

https://doi.org/10.1016/j.irfa.2010.10.001

Keywords

Anomalies, Calendar, Market efficiency

Publication Date

12-1-2010

Journal Title

International Review of Financial Analysis

Link to Full Text

Share

COinS