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The Halloween effect: Trick or treat?


  • Haggard, K. Stephen
  • Witte, H. Douglas


Research documents higher stock returns in November through April than for the rest of the year. This anomaly is known as the "Halloween effect" and results in the following trading rule: sell stocks in early May, invest in T-bills, and re-invest in stocks on Halloween. In contrast to recent studies, we show that the Halloween effect is robust to consideration of outliers and the "January effect." Additionally, we show that investing in a "Halloween portfolio" provides risk-adjusted returns in excess of buy and hold equity returns even after consideration of transaction costs.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:finana:v:19:y:2010:i:5:p:379-387

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    References listed on IDEAS

    1. Jonathan Ingersoll & Ivo Welch, 2007. "Portfolio Performance Manipulation and Manipulation-proof Performance Measures," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1503-1546, 2007 17.
    2. Sauer, Raymond D, et al, 1988. "Hold Your Bets: Another Look at the Efficiency of the Gambling Market for National Football League Games: Comment," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 206-213, February.
    3. Edwin Maberly & Raylene Pierce, 2003. "The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(4), pages 319-334, December.
    4. Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
    5. Ben Jacobsen & Nuttawat Visaltanachoti, 2009. "The Halloween Effect in U.S. Sectors," The Financial Review, Eastern Finance Association, vol. 44(3), pages 437-459, August.
    6. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    7. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    8. Galai, Dan & Kedar-Levy, Haim & Schreiber, Ben Z., 2008. "Seasonality in outliers of daily stock returns: A tail that wags the dog?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 784-792, December.
    9. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
    10. Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December.
    11. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184-184.
    12. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    13. David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," Working papers 487, Massachusetts Institute of Technology (MIT), Department of Economics.
    14. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
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    Cited by:

    1. repec:cpn:umkdem:v:17:y:2017:p:5-18 is not listed on IDEAS
    2. Gebka, Bartosz & Hudson, Robert S. & Atanasova, Christina V., 2015. "The benefits of combining seasonal anomalies and technical trading rules," Finance Research Letters, Elsevier, vol. 14(C), pages 36-44.
    3. Dragos Stefan Oprea, 2014. "The Halloween Effect Evidence from Romania," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(7), pages 463-471, July.
    4. repec:eme:mfipps:v:36:y:2010:i:3:p:530-542 is not listed on IDEAS
    5. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
    6. repec:eee:ecofin:v:43:y:2018:i:c:p:169-205 is not listed on IDEAS
    7. repec:eee:riibaf:v:41:y:2017:i:c:p:292-302 is not listed on IDEAS
    8. repec:eee:reveco:v:53:y:2018:i:c:p:168-184 is not listed on IDEAS


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