Sell-in-May
The sell-in-May effect describes the phenomenon of above-average capital market returns in the months from October to April. However, the time schedule may vary slightly. The sell-in-May effect is a capital market anomaly .
Related terms
In connection with the sell-in-May effect, the Halloween effect , winter effect or year-end rally is often used . The term Halloween effect is related to the custom of the same name as of October 31st, which defines the transition between summer and winter months. The year-end rally is the final spurt on the stock exchanges, which mostly falls during Christmas time. Statistically speaking, December is one of the strongest months on the stock market. The term sell-in-may effect can be traced back to a stock market wisdom . A common continuation is: "Sell in May and go away, but remember to come back in September." ( Sell in May, but don't forget to buy again in September. )
proof
An international study confirms the existence of the winter effect on the capital markets of numerous countries. With the exception of New Zealand, above-average returns were achieved in all 37 countries in the winter months. Capital market data from 1970 to 1988 (if available) were examined.
criticism
A major point of criticism is the accumulation of capital market shocks (including the ruble crisis) in the summer period and the so-called January effect , which could improve the average performance of the winter months. In fact, after correcting these effects, the average excess return on the American stock market during the winter months fell from 1.0349% to 0.6205%.
Economical meaning
Despite the criticism, some studies indicate the profitability of a corresponding investment strategy, even taking into account capital market shocks, the January effect and transaction costs. In a direct comparison of a sell-in-may strategy versus a buy-and-hold strategy, the former showed a slightly better performance. Not least because of these results, numerous financial service providers offer investment strategies based on the winter effect. (Seasonal) certificates are a widely used form . These are index certificates based on special seasonal indices. With this so-called sell in summer strategy , the index value of a well-known leading index (e.g. DAX) is frozen during the summer months . In the remaining months, such a seasonal index participates fully in the performance of the leading index used. In general, but especially with certificates, it should be noted that transaction costs, fees and hidden costs can have a major impact on income.
Individual evidence
- ^ Salm, C., & Siemkes, J. (2009). Persistence of calendar anomalies on the German stock market. FINANZ BETRIEB (7 + 8), pp. 414–418.
- ↑ Year-end rally. Retrieved April 8, 2020 .
- ↑ Bouman, S., & Jacobsen, B. (December 2002). The Halloween Indicator, "Sell in May and Go Away": Another Puzzle. The American Economic Review, pp. 1618-1635.
- ↑ Bouman, S., & Jacobsen, B. (December 2002). The Halloween Indicator, "Sell in May and Go Away": Another Puzzle. The American Economic Review, pp. 1618-1635.
- ^ Maberly, ED, & Pierce, RM (April 2004). Stock Market Efficiency Withstands another Challenge: Solving the “Sell in May / Buy after Halloween” puzzle. Econ Journal Watch, pp. 26-46.
- ↑ Haggard, KS, & Witte, HD (December 2010). The Halloween effect: Trick or treat? International Review of Financial Analysis, pp. 379-387.
- ↑ Moskalenko, E., & Reichling, P. (2008). “Sell in May and Go Away” on the Russian Stock Market. In P. Reichling, H. Gischer, & T. Spengler, Transformation in der Ökonomie (pp. 257-267). Wiesbaden: Gabler-Verlag.
- ↑ HVB Europe Season Price Index (ISNI DE000A0C4F63)
- ↑ DAXplus Seasonal Strategy (ISNI DE000A0C4BV8)
- ↑ (2008). 1.6.3 Cost. In J. Schlütz, C. Springer, & A. Seipel, Financial Planning 3: Investment Instruments (pp. 72–76). Stuttgart: Schäffer-Poeschel Verlag.