{"id":"https://openalex.org/W2140363296","doi":null,"title":"Stock Market Efficiency Withstands another Challenge: Solving the \"Sell in May/Buy after Halloween\" Puzzle","display_name":"Stock Market Efficiency Withstands another Challenge: Solving the \"Sell in May/Buy after Halloween\" Puzzle","publication_year":2004,"publication_date":"2004-04-01","ids":{"openalex":"https://openalex.org/W2140363296","mag":"2140363296"},"language":"en","primary_location":{"id":"pmh:oai:dro.deakin.edu.au:DU:30023932","doi":null,"is_oa":false,"landing_page_url":"http://econjwatch.org/file_download/24/2004-04-maberlypierce-com.pdf","pdf_url":"http://econjwatch.org/file_download/24/2004-04-maberlypierce-com.pdf","source":{"id":"https://openalex.org/S4306402457","display_name":"Deakin Research Online (Deakin University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I149704539","host_organization_name":"Deakin University","host_organization_lineage":["https://openalex.org/I149704539"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5027154846","display_name":"Edwin D. Maberly","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I185492890","display_name":"University of Canterbury","ror":"https://ror.org/03y7q9t39","country_code":"NZ","type":"education","lineage":["https://openalex.org/I185492890"]}],"countries":["NZ"],"is_corresponding":false,"raw_author_name":"Edwin D. Maberly","raw_affiliation_strings":["University of Canterbury,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Canterbury,","institution_ids":["https://openalex.org/I185492890"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5048541391","display_name":"Raylene Marie Pierce","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I184746854","display_name":"Lincoln University","ror":"https://ror.org/04ps1r162","country_code":"NZ","type":"education","lineage":["https://openalex.org/I184746854"]}],"countries":["NZ"],"is_corresponding":false,"raw_author_name":"Raylene M. Pierce","raw_affiliation_strings":["(Lincoln University)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"(Lincoln University)","institution_ids":["https://openalex.org/I184746854"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.155,"has_fulltext":false,"cited_by_count":57,"citation_normalized_percentile":{"value":0.87403694,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"1","issue":"1","first_page":"29","last_page":"46"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/halloween-effect","display_name":"Halloween effect","score":0.9070000052452087},{"id":"https://openalex.org/keywords/stock-market-efficiency","display_name":"stock market efficiency","score":0.878000020980835},{"id":"https://openalex.org/keywords/calendar-anomalies","display_name":"calendar anomalies","score":0.7770000100135803},{"id":"https://openalex.org/keywords/1987-stock-market-crash","display_name":"1987 stock market crash","score":0.7670000195503235},{"id":"https://openalex.org/keywords/s-p-500-index-futures","display_name":"S&P 500 futures","score":0.9390000104904175},{"id":"https://openalex.org/keywords/monthly-stock-returns","display_name":"monthly stock returns","score":0.5329999923706055},{"id":"https://openalex.org/keywords/outlier-effects","display_name":"outlier effects","score":0.3889999985694885}],"concepts":[{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.6005798578262329},{"id":"https://openalex.org/C79337645","wikidata":"https://www.wikidata.org/wiki/Q779824","display_name":"Outlier","level":2,"score":0.5718742609024048},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5676859617233276},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5621288418769836},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5326324105262756},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.49194762110710144},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.48756617307662964},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.4858224391937256},{"id":"https://openalex.org/C12997251","wikidata":"https://www.wikidata.org/wiki/Q567560","display_name":"Anomaly (physics)","level":2,"score":0.42368248105049133},{"id":"https://openalex.org/C29368100","wikidata":"https://www.wikidata.org/wiki/Q724931","display_name":"Efficient-market hypothesis","level":4,"score":0.41478264331817627},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.383171021938324},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.32476598024368286},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.17271199822425842},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.1454700529575348},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.11001268029212952},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.06420183181762695},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C26873012","wikidata":"https://www.wikidata.org/wiki/Q214781","display_name":"Condensed matter physics","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"pmh:oai:dro.deakin.edu.au:DU:30023932","doi":null,"is_oa":false,"landing_page_url":"http://econjwatch.org/file_download/24/2004-04-maberlypierce-com.pdf","pdf_url":"http://econjwatch.org/file_download/24/2004-04-maberlypierce-com.pdf","source":{"id":"https://openalex.org/S4306402457","display_name":"Deakin Research Online (Deakin University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I149704539","host_organization_name":"Deakin University","host_organization_lineage":["https://openalex.org/I149704539"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"},{"id":"mag:2140363296","doi":null,"is_oa":false,"landing_page_url":"http://econjwatch.org/file_download/24/2004-04-maberlypierce-com.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S188292526","display_name":"Econ journal watch","issn_l":"1933-527X","issn":["1933-527X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","poland-70","russia-white-list-3"],"host_organization":"https://openalex.org/P4310316346","host_organization_name":"Atlas Network","host_organization_lineage":["https://openalex.org/P4310316346"],"host_organization_lineage_names":["Atlas Network"],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Econ journal watch","raw_type":null},{"id":"pmh:oai:RePEc:ejw:journl:v:1:y:2004:i:1:p:29-46","doi":null,"is_oa":false,"landing_page_url":"https://econjwatch.org/158","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":10,"referenced_works":["https://openalex.org/W1483854776","https://openalex.org/W1524975479","https://openalex.org/W1980112438","https://openalex.org/W1993082100","https://openalex.org/W1994116731","https://openalex.org/W2036392652","https://openalex.org/W2111255674","https://openalex.org/W2116988722","https://openalex.org/W3122205006","https://openalex.org/W3125649272"],"related_works":["https://openalex.org/W1857197915","https://openalex.org/W2247747263","https://openalex.org/W3124415122","https://openalex.org/W2736113230","https://openalex.org/W3122669765","https://openalex.org/W2575759468","https://openalex.org/W3083169136","https://openalex.org/W2760262890","https://openalex.org/W7052696278","https://openalex.org/W3125609520"],"abstract_inverted_index":{"Examining":[0],"the":[1,16,32,39,63,74,80,83,100,103,107,125,128,143],"years":[2],"1970":[3],"to":[4,97,127],"1998,":[5],"Bouman":[6,57],"and":[7,24,28,46,58,79,133],"Jacobsen":[8],"(2002)":[9],"document":[10],"unusually":[11],"high":[12],"monthly":[13],"returns":[14],"during":[15],"November-April":[17],"periods":[18],"for":[19,50,62,99,119],"both":[20],"United":[21],"States":[22],"(U.S.)":[23],"foreign":[25],"stock":[26,53],"markets":[27],"label":[29],"this":[30],"phenomenon":[31],"Halloween":[33,40,108,140],"effect.":[34],"Their":[35],"research":[36,126],"suggests":[37],"that":[38,66],"effect":[41,109,141],"represents":[42],"an":[43,138],"exploitable":[44,118,139],"anomaly":[45,114],"has":[47],"negative":[48],"implications":[49],"claims":[51],"of":[52,76,82,102,137],"market":[54],"efficiency.":[55],"Re-examining":[56],"Jacobsen\u00e2\u20ac\u2122s":[59],"empirical":[60],"results":[61,68],"U.S.":[64,120],"reveals":[65],"their":[67],"are":[69],"driven":[70],"by":[71],"two":[72,104],"outliers,":[73,106],"\u00e2\u20ac\u0153Crash\u00e2\u20ac":[75],"October":[77],"1987":[78],"collapse":[81],"hedge":[84],"fund":[85],"Long-Term":[86],"Capital":[87],"Management":[88],"in":[89],"August":[90],"1998.":[91],"After":[92],"inserting":[93],"a":[94],"dummy":[95],"variable":[96],"account":[98],"impact":[101],"identified":[105],"becomes":[110],"statistically":[111],"insignificant.":[112],"This":[113],"is":[115],"not":[116],"economically":[117],"equity":[121],"markets.":[122],"We":[123],"extend":[124],"S&P":[129],"500":[130],"futures":[131],"contract":[132],"find":[134],"no":[135],"evidence":[136],"over":[142],"period":[144],"April":[145],"1982-April":[146],"2003.":[147]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":5},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
