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Statistik › Saisonalität und Kalender › Sell in May

Sell in May survived in the global pooled data and not in any single investable index

S&P 500|t 1.93 then 0.95Full history: 0.86%2003 to 2012: 0.71%0.71%EuroStoxx 50|t 2.53 then 0.33Full history: 1.50%2003 to 2012: 0.30%0.30%DAX 30|t 2.98 then 0.88Full history: 1.35%2003 to 2012: 0.83%0.83%CAC 40|t 2.38 then 0.37Full history: 1.45%2003 to 2012: 0.33%0.33%FTSE 100|t 2.64 then 0.69Full history: 1.24%2003 to 2012: 0.51%0.51%Full history2003 to 2012

Halloween dummy coefficient in percent per month, full index history against the decade strictly after the original paper was published. Index histories begin between 1965 and 1988 and all end December 2012. Every full-sample coefficient is significant. None of the post-publication coefficients is.

The original paper found November to April returns higher in thirty six of thirty seven countries. Tested on the decade after it was published, the coefficient is statistically insignificant in all six investable indices one study examined, including the S&P 500 at a t statistic of 0.95.

36 of 37Countries with higher November to April returns in the original paper
0.93%US Halloween coefficient per month in the original draft, t = 1.95
0.169%The same effect measured over 1802 to 1969, t = 0.84
None of sixInvestable indices with a significant effect over 2003 to 2012

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