The Halloween indicator, Sell in May and Go Away: Everywhere and all the time

To answer the sceptics, we use all historical data (62962 observations) on all stock market indices worldwide to verify the robustness of the so-called Halloween Indicator or Sell in May effect. The effect seems remarkably robust with returns on average 4% higher during November-April period than during May-October. A new test for the effect offers some additional insights. Worldwide excess returns during summer seem negative (around - 1%) and often significantly so suggesting a flat or negative risk return relation. Only for Mauritius do we find a significantly positive risk return relation during May-October. Our dataset also allows for a new (upper bound) estimate for the equity premium of around 4%. (C) 2020 Elsevier Ltd. All rights reserved.

Automated summary

The study verifies the robustness of the Halloween Indicator or Sell in May effect using historical data on all stock market indices worldwide, showing higher returns during November-April compared to May-October. Negative worldwide excess returns during summer indicate a flat or negative risk-return relation, except for Mauritius. The dataset also provides a new estimate for the equity premium of around 4%.