Practical analysis for investment professionals
15 October 2013

“Sell in May and Go Away” Just Won’t Go Away (Podcast)

In a 2002 paper, Sven Bouman and Ben Jacobsen argued that the anomaly identified by the old adage “sell in May and go away” (also known as the Halloween indicator) had a persistent effect across markets studied. Ten years later, the sell-in-May effect was still being discussed in the financial press and this claim caught the attention of Sandro C. Andrade, Vidhi Chhaochharia, and Michael E. Fuerst. The idea that stock returns were much lower in the six-month period from May to October than in the six-month period from November to April still had traction.



Andrade and his coauthors felt that this result didn’t make sense, and so they set out to disprove Bouman and Jacobsen’s argument by studying the same 37 markets but with 14 additional years of data. But their extensive out-of-sample test showed that the initial claim held up — and that the sell-in-May effect had an even more pervasive effect on markets than previously thought. “We were stunned,” Andrade said. Their findings were published in the article “‘Sell in May and Go Away’ Just Won’t Go Away,” which appeared in the July/August 2013 issue of the Financial Analysts Journal.

Pat Light, assistant editor at CFA Institute, talked with Andrade about his research as part of our FAJ author interview series.

The authors found that, on average, stock returns are about 10 percentage points higher for November–April half-year periods than for May–October half-year periods. The results suggest “that this kind of simple market-timing strategy works,” Andrade said.

To hear Andrade discuss the specifics of his results, listen to full interview above or download the MP3.

CFA Institute members can access the full journal article on the CFA Institute Publications website.


Please note that the content of this site should not be construed as investment advice, nor do the opinions expressed necessarily reflect the views of CFA Institute.

About the Author(s)
Abby Farson Pratt

Abby Farson Pratt was an assistant editor at CFA Institute. Previously, she worked at the Denver Post and at the University of North Carolina Press. Pratt earned the Claritas™ Investment Certificate and holds a BA in journalism and English from the University of North Carolina at Chapel Hill.

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