Artigo em revista científica
The Halloween effect in European equity mutual funds
José Curto (Curto, J. D.); Luís Oliveira (Oliveira, L.); Ana Rita Matilde (Matilde, A. R.);
Título Revista
The Open Journal of Economics and Finance
Ano
2018
Língua
Inglês
País
Paquistão
Mais Informação
Abstract/Resumo
We extend the evidence on the Halloween effect (returns during the months of May to October tend to be lower than returns during the months of November to April) in stock markets by examining the return pattern of 145 European Equity Mutual Funds from 1997 to 2013. The main purpose is to investigate if previously predictabilities in equity stock markets returns are reflected in mutual funds. We conclude that (i) the Halloween effect is statistically and economically significant; (ii) this effect has disappeared after the Bouman and Jacobsen (2002) publication; (iii) an investment strategy based on this anomaly clearly beats the buy-and-hold strategy.
Agradecimentos/Acknowledgements
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Palavras-chave
Halloween effect,Market efficiency,Calendar anomalies,Mutual funds,Market returns
  • Economia e Gestão - Ciências Sociais
Registos de financiamentos
Referência de financiamento Entidade Financiadora
UID/GES/00315/2013 Fundação para a Ciência e a Tecnologia