The Halloween effect in European equity mutual funds

Detalhes bibliográficos
Autor(a) principal: Curto, J. D.
Data de Publicação: 2018
Outros Autores: Oliveira, L., Matilde, A. R.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/17173
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.
id RCAP_9ae59f5a7007f542550cb844b3290bbc
oai_identifier_str oai:repositorio.iscte-iul.pt:10071/17173
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling The Halloween effect in European equity mutual fundsHalloween effectMarket efficiencyCalendar anomaliesMutual fundsMarket returnsWe 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.Evotec Publishers2019-02-07T12:20:21Z2018-01-01T00:00:00Z20182019-02-07T12:18:21Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/17173eng2616-8200Curto, J. D.Oliveira, L.Matilde, A. R.info: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:RCAAP2023-11-09T17:55:53Zoai:repositorio.iscte-iul.pt:10071/17173Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:28:34.828408Repositório 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 The Halloween effect in European equity mutual funds
title The Halloween effect in European equity mutual funds
spellingShingle The Halloween effect in European equity mutual funds
Curto, J. D.
Halloween effect
Market efficiency
Calendar anomalies
Mutual funds
Market returns
title_short The Halloween effect in European equity mutual funds
title_full The Halloween effect in European equity mutual funds
title_fullStr The Halloween effect in European equity mutual funds
title_full_unstemmed The Halloween effect in European equity mutual funds
title_sort The Halloween effect in European equity mutual funds
author Curto, J. D.
author_facet Curto, J. D.
Oliveira, L.
Matilde, A. R.
author_role author
author2 Oliveira, L.
Matilde, A. R.
author2_role author
author
dc.contributor.author.fl_str_mv Curto, J. D.
Oliveira, L.
Matilde, A. R.
dc.subject.por.fl_str_mv Halloween effect
Market efficiency
Calendar anomalies
Mutual funds
Market returns
topic Halloween effect
Market efficiency
Calendar anomalies
Mutual funds
Market returns
description 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.
publishDate 2018
dc.date.none.fl_str_mv 2018-01-01T00:00:00Z
2018
2019-02-07T12:20:21Z
2019-02-07T12:18:21Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/17173
url http://hdl.handle.net/10071/17173
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2616-8200
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.publisher.none.fl_str_mv Evotec Publishers
publisher.none.fl_str_mv Evotec Publishers
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
institution RCAAP
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
_version_ 1799134848042926080

Registros relacionados