SELL IN MAY AND GO AWAY REVISITED
Economics, Finance, & Quantitative Analysis
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]
Kochman, L., Badarinathi, R., & Bray, D. (2014). SELL IN MAY AND GO AWAY REVISITED. American Economist, 59(1), 90.