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Sell in May and go away: the evidence in the international equity index futures markets

Author

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  • Constantine Dzhabarov
  • Alexandre Ziegler
  • William T. Ziemba

Abstract

There are teeth in the old saw

Suggested Citation

  • Constantine Dzhabarov & Alexandre Ziegler & William T. Ziemba, 2018. "Sell in May and go away: the evidence in the international equity index futures markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(2), pages 171-181, February.
    • Handle: RePEc:taf:quantf:v:18:y:2018:i:2:p:171-181
    DOI: 10.1080/14697688.2017.1406232
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    Cited by:

    1. Qadan, Mahmoud & Nisani, Doron & Eichel, Ron, 2022. "Irregularities in forward-looking volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 489-501.
    2. Lobão, Júlio, 2019. "Seasonal anomalies in the market for American depository receipts," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 24(48), pages 241-265.

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