Researchers behind the Halloween indicator study
Sven Bouman & Ben Jacobsen
Ben Jacobsen is a finance professor at TIAS School for Business and Society who studies seasonality in stock returns. Sven Bouman works at the asset manager Saemor Capital (affiliations as given by the American Economic Association). Their 2002 American Economic Review paper tested the old 'Sell in May and go away' saying in 37 stock markets.
What they argue
- Stock returns from November to April were higher than from May to October in 36 of the 37 markets they studied, and they called this a puzzle.
- A 'Halloween strategy' beat buy-and-hold in nearly every market they studied: stocks from November to April, the risk-free asset from May to October.
- In later work with Cherry Zhang, Jacobsen extended the test to 108 markets and more than 300 years of UK data (1693–2011) and found an average winter-minus-summer gap of about 4.5 percentage points.
Sources
RePEc/IDEAS: American Economic Review 92(5), 2002CFA Institute Enterprising Investor: The Halloween Indicator (2012)CXO Advisory: Jacobsen & Zhang, Halloween effect everywhere and all the time
Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.
Books and papers
- The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle, American Economic Review 92(5): 1618–1635 (2002)
- The Halloween Indicator: Everywhere and All the Time (Jacobsen & Zhang, working paper) (2012)
Halloween indicator (sell in May)
Rule and full recordCalendar · daily · with Yale Hirsch & Jeffrey Hirsch
Own stocks from November through April; sit in T-bills from May through October.
In right now0 of 377As of the Oct 13, 2026 close.
Best risk-adjusted results against buy and hold: