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Black cats or black swans? Outliers, seasonality in return distribution properties, and the Halloween effect

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References

1976Capital market seasonality: The case of stock returns1,252 cited
2002The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle419 cited
1942Certain Observations on Seasonal Movements in Stock Prices313 cited
1986Skewness Persistence in Common Stock Returns183 cited
2006The January Effect147 cited
1988Calendar Anomalies: Abnormal Returns at Calendar Turning Points143 cited
2012'Sell in May and Go Away' Just Won't Go Away83 cited
2007Halloween or January? Yet another puzzle75 cited
1998The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle69 cited
2010The Halloween effect: Trick or treat?60 cited
2004Stock Market Efficiency Withstands another Challenge: Solving the "Sell in May/Buy after Halloween" Puzzle60 cited
2003The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly25 cited
2008Seasonality in outliers of daily stock returns: A tail that wags the dog?24 cited
2012The Halloween Indicator, 'Sell in May and Go Away': Everywhere and All the Time20 cited

Cited by

2017The “Sell in May” effect: A review and new empirical evidence

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18 cited

2017The Halloween effect on the agricultural commodities markets15 cited