The Halloween effect in European equity mutual funds

Bibliographic Details
Main Author: Curto, J. D.
Publication Date: 2018
Other Authors: Oliveira, L., Matilde, A. R.
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10071/17173
Summary: We extend the evidence on the Halloween effect (returns during the months of May to October tend to be lower than returns during the months of November to April) in stock markets by examining the return pattern of 145 European Equity Mutual Funds from 1997 to 2013. The main purpose is to investigate if previously predictabilities in equity stock markets returns are reflected in mutual funds. We conclude that (i) the Halloween effect is statistically and economically significant; (ii) this effect has disappeared after the Bouman and Jacobsen (2002) publication; (iii) an investment strategy based on this anomaly clearly beats the buy-and-hold strategy.
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spelling The Halloween effect in European equity mutual fundsHalloween effectMarket efficiencyCalendar anomaliesMutual fundsMarket returnsWe extend the evidence on the Halloween effect (returns during the months of May to October tend to be lower than returns during the months of November to April) in stock markets by examining the return pattern of 145 European Equity Mutual Funds from 1997 to 2013. The main purpose is to investigate if previously predictabilities in equity stock markets returns are reflected in mutual funds. We conclude that (i) the Halloween effect is statistically and economically significant; (ii) this effect has disappeared after the Bouman and Jacobsen (2002) publication; (iii) an investment strategy based on this anomaly clearly beats the buy-and-hold strategy.Evotec Publishers2019-02-07T12:20:21Z2018-01-01T00:00:00Z20182019-02-07T12:18:21Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/17173eng2616-8200Curto, J. D.Oliveira, L.Matilde, A. R.info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-07-07T03:34:19Zoai:repositorio.iscte-iul.pt:10071/17173Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T18:27:55.288541Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv The Halloween effect in European equity mutual funds
title The Halloween effect in European equity mutual funds
spellingShingle The Halloween effect in European equity mutual funds
Curto, J. D.
Halloween effect
Market efficiency
Calendar anomalies
Mutual funds
Market returns
title_short The Halloween effect in European equity mutual funds
title_full The Halloween effect in European equity mutual funds
title_fullStr The Halloween effect in European equity mutual funds
title_full_unstemmed The Halloween effect in European equity mutual funds
title_sort The Halloween effect in European equity mutual funds
author Curto, J. D.
author_facet Curto, J. D.
Oliveira, L.
Matilde, A. R.
author_role author
author2 Oliveira, L.
Matilde, A. R.
author2_role author
author
dc.contributor.author.fl_str_mv Curto, J. D.
Oliveira, L.
Matilde, A. R.
dc.subject.por.fl_str_mv Halloween effect
Market efficiency
Calendar anomalies
Mutual funds
Market returns
topic Halloween effect
Market efficiency
Calendar anomalies
Mutual funds
Market returns
description We extend the evidence on the Halloween effect (returns during the months of May to October tend to be lower than returns during the months of November to April) in stock markets by examining the return pattern of 145 European Equity Mutual Funds from 1997 to 2013. The main purpose is to investigate if previously predictabilities in equity stock markets returns are reflected in mutual funds. We conclude that (i) the Halloween effect is statistically and economically significant; (ii) this effect has disappeared after the Bouman and Jacobsen (2002) publication; (iii) an investment strategy based on this anomaly clearly beats the buy-and-hold strategy.
publishDate 2018
dc.date.none.fl_str_mv 2018-01-01T00:00:00Z
2018
2019-02-07T12:20:21Z
2019-02-07T12:18:21Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/17173
url http://hdl.handle.net/10071/17173
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2616-8200
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Evotec Publishers
publisher.none.fl_str_mv Evotec Publishers
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833597436263661568

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