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The Halloween Effect in U.S. Sectors

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  • Ben Jacobsen
  • Nuttawat Visaltanachoti

Abstract

U.S. stock market sectors and industries perform better during winter than summer from 1926 to 2006. In more than two-thirds of sectors and industries, the difference in summer and winter returns, known as the Halloween effect, is statistically significant. There are, however, large differences across sectors and industries. The effect is almost absent in sectors related to consumer consumption but is strong in production sectors. We find that neither liquidity changes nor well-known risk factors can explain the anomaly. We illustrate how the differences between sectors and industries can improve the risk-return tradeoff using sector rotation. Copyright (c) 2009, The Eastern Finance Association.

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Bibliographic Info

Article provided by Eastern Finance Association in its journal Financial Review.

Volume (Year): 44 (2009)
Issue (Month): 3 (08)
Pages: 437-459

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Handle: RePEc:bla:finrev:v:44:y:2009:i:3:p:437-459

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Web page: http://www.easternfinance.org/
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Cited by:
  1. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Prolonged holiday effects on Romanian capital market before and after the adhesion to EU," MPRA Paper 52770, University Library of Munich, Germany, revised Jan 2013.
  2. Haggard, K. Stephen & Witte, H. Douglas, 2010. "The Halloween effect: Trick or treat?," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 379-387, December.

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