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Stock Market Efficiency Withstands another Challenge: Solving the "Sell in May/Buy after Halloween" Puzzle
7 references·13 citing·44 second hop
Stock Market Efficiency Withstands another Challenge: Solving the "Sell in May/Buy after Halloween" Puzzle (2004)Stock Market Efficiency Withstands anothe…The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)The Halloween Indicator, “Sel…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …The Tragedy of Pudd’nhead Wilson (1894) (1994)The Tragedy of Pudd’nhead Wil…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIThe incredible January effect : the stock market's unsolved mystery (1988)The incredible January effect…Some anomalous evidence regarding market efficiency (1978)Some anomalous evidence regar…Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time (2020)The Halloween indicator, “Sel…Halloween Effect in developed stock markets: A historical perspective (2019)Halloween Effect in developed…The “Sell in May” effect: A review and new empirical evidence (2017)The “Sell in May” effect: A r…The Halloween effect in European sectors (2016)The Halloween effect in Europ…An empirical test of calendar anomalies for the Indian securities markets (2016)An empirical test of calendar…Seasonality in the Baltic Stock Markets (2015)Seasonality in the Baltic Sto…Black cats or black swans? Outliers, seasonality in return distribution properties, and the Halloween effect (2015)Black cats or black swans? Ou…Sell in May and Go Away: Still Good Advice for Investors? (2014)Sell in May and Go Away: Stil…The Halloween Indicator, 'Sell in May and Go Away': Everywhere and All the Time (2012)The Halloween Indicator, 'Sel…The Halloween effect: Trick or treat? (2010)The Halloween effect: Trick o…Outliers and the Halloween Effect: Comment on Maberly and Pierce (2010)Outliers and the Halloween Ef…Stock Market Efficiency In The Transition Economies Through The Lens Of Calendar Anomalies (2008)Stock Market Efficiency In Th…The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly (2003)The Halloween Effect and Japa…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Risk, Return, and Equilibrium: Empirical Tests (1973)The pricing of commodity contracts (1976)Facts and Fantasies about Commodity Futures (2006)Mutual Fund Performance (1966)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)No news is good news (1992)An anatomy of calendar effects (2012)The economic and financial properties of crude oil: A review (2019)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Common risk factors in the returns on stocks and bonds (1993)A model of investor sentiment / (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Corporate financing and investment decisions when firms have information that investors do not have (1984)Twitter mood predicts the stock market (2011)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)Are Seasonal Anomalies Real? 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References

  • 1991Efficient Capital Markets: II6,030 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,780 cited
  • 1978Some anomalous evidence regarding market efficiency1,555 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
  • 2002The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle419 cited
  • 1988The incredible January effect : the stock market's unsolved mystery203 cited
  • 1994The Tragedy of Pudd’nhead Wilson (1894)46 cited

Cited by

  • 2010The Halloween effect: Trick or treat?60 cited
  • 2014Sell in May and Go Away: Still Good Advice for Investors?34 cited
  • 2020The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time30 cited
  • 2016The Halloween effect in European sectors25 cited
  • 2003The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly25 cited
  • 2016An empirical test of calendar anomalies for the Indian securities markets20 cited
  • 2012The Halloween Indicator, 'Sell in May and Go Away': Everywhere and All the Time

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20 cited
  • 2015Black cats or black swans? Outliers, seasonality in return distribution properties, and the Halloween effect18 cited
  • 2017The “Sell in May” effect: A review and new empirical evidence18 cited
  • 2015Seasonality in the Baltic Stock Markets17 cited
  • 2019Halloween Effect in developed stock markets: A historical perspective17 cited
  • 2008Stock Market Efficiency In The Transition Economies Through The Lens Of Calendar Anomalies16 cited
  • 2010Outliers and the Halloween Effect: Comment on Maberly and Pierce15 cited