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Stats › Marchés mondiaux et places boursières › Sell in May, Europe

Sell in May passes its European out of sample test in two markets and half passes in two more

France|t 3.99 then 2.321970 to Aug 1998: 14.22%Sep 1998 to Jul 2011: 9.59%9.59%Netherlands|t 4.10 then 1.931970 to Aug 1998: 11.86%Sep 1998 to Jul 2011: 10.38%10.38%United Kingdom|t 2.89 then 1.851970 to Aug 1998: 12.37%Sep 1998 to Jul 2011: 6.56%6.56%Germany|t 2.91 then 2.351970 to Aug 1998: 8.34%Sep 1998 to Jul 2011: 11.61%11.61%1970 to Aug 1998Sep 1998 to Jul 2011

November to April minus May to October return difference, in the paper's annualised-equivalent units, for four large European markets. The left point is the original study's window and the right point is the genuinely out of sample period after it was published. Newey-West standard errors. Germany is the only one of the four to strengthen.

Tested out of sample from September 1998, the November to April effect is significant at 5% in Germany and France and only at 10% in the UK and the Netherlands. The sample ends in July 2011 and uses price indices that exclude dividends.

11.61%German coefficient out of sample, significant at 5%
9.59%French coefficient out of sample, significant at 5%
6.56%UK coefficient out of sample, significant at 10% only
About 15Years since the out of sample window ended

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