Title

SELL IN MAY AND GO AWAY REVISITED

Department

Economics, Finance, & Quantitative Analysis

Document Type

Article

Publication Date

3-1-2014

Abstract

Market returns were collected for the eight-year period November 2004 through October 2012 and divided into six-month periods November through April and May through October. Annualized returns for the two sets of eight six-month holding periods differed sharply from one another as well as from the combined mark of 4.46 percent. An annualized return of 10.08 percent for the November-April period reversed the 1.18-percent loss from the May-October span and provided more evidence that investors would be wise to Sell in May and go away. [PUBLICATION ABSTRACT]