tailieunhanh - Stock Market Efficiency Withstands another Challenge: Solving the “Sell in May/Buy after Halloween” Puzzle

Fire escapes provide both a ladder down for the building occupant during an emergency and a ladder up to a less secure upper floor for a burglar. Occupants should not do anything that impedes access to a fire escape but there are things that can be done to make it less attractive to the burglar. If an apartment building uses a fire escape, there are a number of battery operated alarms for less than $ that can be installed to detect the opening of a door or window and sound a loud alarm to alert the occupants. If the fire escape ladder is a pull down. | Discuss this article at Jt http articles 5455 Lew Econ Journal Watch Volume 1 Number 1 April 2004 pp 29-46. Stock Market Efficiency Withstands another Challenge Solving the Sell in May Buy after Halloween Puzzle Edwin D. Maberly and Raylene M. Pierce A Comment ON Bouman Sven AND Ben Jacobsen. 2002. The Halloween Indicator Sell in may and Go Away Another Puzzle. American Economic Review 92 5 1618-1635. Abstract Keywords JEL Codes Over the past twenty years financial economists have documented numerous stock return patterns related to calendar time. The list includes patterns related to the month-of-the-year January effect day-of-the-week Monday effect day-of-the-month turn-of-the-month effect and market closures due to exchange holidays the holiday effect to name just a This research is cited as evidence of market inefficiencies see University of Canterbury. Chiristchurch New Zealand. Lincoln University. Canterbury New Zealand. This paper benefited from editorial comments by Professor Tom Saving of Texas A M University and encouraging comments by Professor Burton Malkiel of Princeton University. Additionally constructive comments were provided by an anonymous referee. 1 The January effect is frequently misinterpreted as implying that stock returns irrespective of market size are unusually large in January. From Fama 1991 1586-1587 the January effect refers to the phenomenon that stock returns especially returns on small stocks are on average higher in January than in other months. Moreover much of the higher January return on small stocks comes on the last trading day in December and the first 5 trading days in January. 29 Edwin D. Maberly and Raylene M. Pierce for example Schleifer 2000 . As a counter argument Jensen 1978 highlights the importance of trading profitability when assessing market efficiency. if a trading rule is not strong enough to outperform a buy and hold strategy on a risk-adjusted basis then it is not .