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The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle

Sven Bouman and Ben Jacobsen

American Economic Review. Nov 2002, Vol. 92, No. 5: Pages 1618-1635

The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle

Sven Bouman ¹,
¹AEGON Asset Management, P.O. Box 903, 2501 CX The Hague, The Netherlands.
[email protected]Ben Jacobsen²
²Erasmus University Rotterdam, Rotterdam School of Management/Faculty of Business Administration, Financial Management Department/RIFM, PO Box 1738, 3000 DR Rotterdam, The Netherlands.
[email protected]

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