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Publication Detailed Description
Journal Title
The Open Journal of Economics and Finance
Year (definitive publication)
2018
Language
English
Country
Pakistan
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Abstract
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.
Acknowledgements
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Keywords
Halloween effect,Market efficiency,Calendar anomalies,Mutual funds,Market returns
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| UID/GES/00315/2013 | Fundação para a Ciência e a Tecnologia |
