Archive | November 2012

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The Halloween Indicator 万圣节指示器

Stock markets have seasonal effects, e.g., Monday-effect, weekend effect, turn-of-the-month effect, holiday effect, January effect, etc. The Halloween indicator conveys an equity return anomaly in which the period from November through April has significantly stronger returns with lower volatility than the remaining months of the year. In response to this belief, stock traders sell at […]