The Halloween effect in European equity mutual funds
Autor(a) principal: | |
---|---|
Data de Publicação: | 2018 |
Outros Autores: | , |
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 |