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A New Puzzle Piece for the “Sell in May, and Go Away” Anomaly: Regulatory Disclosures

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  • Jan L. Schroeder

    (Department of Finance, TU Dortmund, 44227 Dortmund, Germany)

Abstract

We propose a new puzzle piece for the Halloween effect (“Sell in May and Go Away”) by identifying a seasonal pattern in SEC regulatory disclosures that aligns with the effect’s summer and winter periods. From 2004 to 2023, SEC filing volumes were 17% higher in winter (November–April) than in summer (May–October). Winter also sees a 22% rise in insider trading, 13% more private securities offerings, 12% more activist investor activity, a 96% increase in shareholder meetings, and 473% more annual reports. February consistently shows the highest number of disclosures, while September shows the lowest. Similar patterns across European markets suggest global consistency. As regulatory filings contain material price-relevant information, this seasonal disclosure pattern offers a new contributing factor to the Halloween effect puzzle.

Suggested Citation

  • Jan L. Schroeder, 2025. "A New Puzzle Piece for the “Sell in May, and Go Away” Anomaly: Regulatory Disclosures," IJFS, MDPI, vol. 13(4), pages 1-28, November.
    • Handle: RePEc:gam:jijfss:v:13:y:2025:i:4:p:208-:d:1787841
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