Sell In May And Go Away: Is It Still A Reliable Investing Strategy?

Open Access
Author:
Zhang, Ruo Hao
Area of Honors:
Finance
Degree:
Bachelor of Arts
Document Type:
Thesis
Thesis Supervisors:
  • Zugang Liu, Thesis Supervisor
  • Brian Spangler Davis, Honors Advisor
  • Brian Spangler Davis, Faculty Reader
Keywords:
  • trading strategy
  • Sell in May
  • anomaly
  • Halloween Effect.
Abstract:
This study examines whether the Sell in May and Go Away (or Halloween Effect) trading strategy still exists in the United States markets and if still has an opportunity to earn abnormal returns. This study stems its differences from previous works in the literature in that it looks at investment style portfolios as well as industry portfolios in both an equal weight and value weighted fashion. Then a trading strategy is provided with the results from the research. The research has found that the Sell in May and Go Away effect has been getting slightly stronger over time. It also shows that it is more prominent in the equal weighted portfolios and in smaller companies than larger ones. Overall, a trading portfolio that follows the strategy of Sell in May and Go Away has a better return to risk ratio than a buy and hold strategy.