Sell in May Effect: a real deal or a fake one?

Detalhes bibliográficos
Autor(a) principal: Kaddoura, Malak Ehsan
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/46484
Resumo: Dissertação de mestrado em Finanças
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spelling Sell in May Effect: a real deal or a fake one?Calender anomalySell in may effectHalloween indicatorJanuary effectMarket efficiencyCiências Sociais::Economia e GestãoDissertação de mestrado em FinançasIn an efficient market, information is reflected on market prices, and consequently prices should follow a random walk, and their changes should be unpredictable (Fama, 1965a). The aim of this research is to test the efficient market hypothesis. In particular, this dissertation investigates the weak-form market efficient hypothesis through analyzing the existence of the ”Sell in May and Go Away” calendar anomaly (also known as the Halloween Effect). The data set consists of monthly stock returns for value-weighted indices of 25 international countries. We follow a regression analysis methodology to: test for the existence of the Halloween effect in both developed and emerging markets, test if the Halloween effect is a January effect in disguise, and test if crashes affects the results. The results show that the Sell in May effect exists in 9 countries out of the studied 25 countries, and that the Sell in May effect is not simply a January effect. However, controlling for crashes makes the Sell in May anomaly to disappear. Finally, an evaluation of the performance of both the Halloween trading strategy in comparison with the Buyand-Hold strategy is made. The result show that the former is more profitable in 9 out of the 25 countries even after amending transaction costs.Silva, FlorindaUniversidade do MinhoKaddoura, Malak Ehsan2017-07-042017-07-04T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttps://hdl.handle.net/1822/46484eng201720680info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-09-30T01:28:37Zoai:repositorium.sdum.uminho.pt:1822/46484Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:20:00.079849Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Sell in May Effect: a real deal or a fake one?
title Sell in May Effect: a real deal or a fake one?
spellingShingle Sell in May Effect: a real deal or a fake one?
Kaddoura, Malak Ehsan
Calender anomaly
Sell in may effect
Halloween indicator
January effect
Market efficiency
Ciências Sociais::Economia e Gestão
title_short Sell in May Effect: a real deal or a fake one?
title_full Sell in May Effect: a real deal or a fake one?
title_fullStr Sell in May Effect: a real deal or a fake one?
title_full_unstemmed Sell in May Effect: a real deal or a fake one?
title_sort Sell in May Effect: a real deal or a fake one?
author Kaddoura, Malak Ehsan
author_facet Kaddoura, Malak Ehsan
author_role author
dc.contributor.none.fl_str_mv Silva, Florinda
Universidade do Minho
dc.contributor.author.fl_str_mv Kaddoura, Malak Ehsan
dc.subject.por.fl_str_mv Calender anomaly
Sell in may effect
Halloween indicator
January effect
Market efficiency
Ciências Sociais::Economia e Gestão
topic Calender anomaly
Sell in may effect
Halloween indicator
January effect
Market efficiency
Ciências Sociais::Economia e Gestão
description Dissertação de mestrado em Finanças
publishDate 2017
dc.date.none.fl_str_mv 2017-07-04
2017-07-04T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/46484
url https://hdl.handle.net/1822/46484
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 201720680
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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