Seasonal Predictability of Stock Market Returns
This paper focuses on the seasonal predictability of stock market returns. we investigate the statistical significance of predicting stock returns from several calendar dummies. Our main findings, using monthly stock market returns from Belgium. Germany, the Netherlands, UK and US, are that the January effect disappears over time, but a strong support is found for the Sell-in-May effect. This implies that for each country, the returns are on average significantly higher in the winter than i the summer periods. Finally, we only find moderate support for a decennial cycle. Years ending in five have historically been the best years to invest in US stock, but this cycle effect is not found in the other countries.
Volume (Year): XLVII (2002)
Issue (Month): 4 ()
|Contact details of provider:|| Postal: Naamsestraat 69, 3000 Leuven|
Web page: http://feb.kuleuven.be/rebel
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ete:revbec:20020404. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (library EBIB)
If references are entirely missing, you can add them using this form.