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An Explanation for the Halloween Effect (Sell in May, and go away)

https://doi.org/10.2139/ssrn.4856537
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s11142-008-9083-2openalex-extracted
Financial reporting complexity and investor underreaction to 10-K information
inferredcites →https://doi.org/10.1016/j.irfa.2006.03.003openalex-extracted
Halloween or January? Yet another puzzle
inferredcites →https://doi.org/10.1016/j.irfa.2010.10.001openalex-extracted
The Halloween effect: Trick or treat?
inferredcites →https://doi.org/10.1016/j.irfa.2015.10.004openalex-extracted
The Christmas effect—Special dividend announcements
inferredcites →https://doi.org/10.1016/j.jbankfin.2004.06.028openalex-extracted
Stock market returns: A note on temperature anomaly
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.08.004openalex-extracted
Is it the weather?
inferredcites →https://doi.org/10.1016/j.jbankfin.2008.12.009openalex-extracted
Political regimes, business cycles, seasonalities, and returns
inferredcites →https://doi.org/10.1016/j.jfineco.2021.08.002openalex-extracted
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
inferredcites →https://doi.org/10.1016/j.jimonfin.2020.102268openalex-extracted
The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time
inferredcites →https://doi.org/10.1016/s0165-4101(03)00036-3openalex-extracted
What insiders know about future earnings and how they use it: Evidence from insider trades
inferredcites →https://doi.org/10.1017/9781108367677openalex-extracted
Boom and Bust: A Global History of Financial Bubbles
inferredcites →https://doi.org/10.1017/s0022109000003100openalex-extracted
Weather, Stock Returns, and the Impact of Localized Trading Behavior
inferredcites →https://doi.org/10.1023/a:1027351630866openalex-extracted
Got Information? Investor Response to Form 10-K and Form 10-Q EDGAR Filings
inferredcites →https://doi.org/10.1080/096031096334268openalex-extracted
Interdependence of stock markets: evidence from Europe during the 1920s and 1930s
inferredcites →https://doi.org/10.1093/rfs/1.4.403openalex-extracted
Are Seasonal Anomalies Real? A Ninety-Year Perspective
inferredcites →https://doi.org/10.1093/rfs/14.1.79openalex-extracted
Are Insider Trades Informative?
inferredcites →https://doi.org/10.1111/1540-6261.00556openalex-extracted
Good Day Sunshine: Stock Returns and the Weather
inferredcites →https://doi.org/10.1111/1911-3846.12452openalex-extracted
Readability of 10‐K Reports and Stock Price Crash Risk
inferredcites →https://doi.org/10.1111/fima.12094openalex-extracted
Cultural New Year Holidays and Stock Returns around the World
inferredcites →https://doi.org/10.1111/fima.12177openalex-extracted
The Persistence of Opportunistic Insider Trading
inferredcites →https://doi.org/10.1111/fima.12182openalex-extracted
School Holidays and Stock Market Seasonality
inferredcites →https://doi.org/10.1111/j.1475-679x.2010.00382.xopenalex-extracted
The Information Content of Forward‐Looking Statements in Corporate Filings—A Naïve Bayesian Machine Learning Approach
inferredcites →https://doi.org/10.1111/j.1475-679x.2010.00396.xopenalex-extracted
Large‐Sample Evidence on Firms’ Year‐over‐Year MD&A Modifications
inferredcites →https://doi.org/10.1111/j.1475-679x.2011.00419.xopenalex-extracted
It's Showtime: Do Managers Report Better News Before Annual Shareholder Meetings?
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb03731.xopenalex-extracted
High Stock Returns before Holidays: Existence and Evidence on Possible Causes
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01262.xopenalex-extracted
Sports Sentiment and Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01373.xopenalex-extracted
Hedge Fund Activism, Corporate Governance, and Firm Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01379.xopenalex-extracted
Economic Links and Predictable Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01447.xopenalex-extracted
Investor Inattention and Friday Earnings Announcements
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01501.xopenalex-extracted
Driven to Distraction: Extraneous Events and Underreaction to Earnings News
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01740.xopenalex-extracted
Decoding Inside Information
inferredcites →https://doi.org/10.1111/j.1540-6288.2009.00224.xopenalex-extracted
The Halloween Effect in U.S. Sectors
inferredcites →https://doi.org/10.1111/jofi.12162openalex-extracted
Measuring Readability in Financial Disclosures
inferredcites →https://doi.org/10.1111/jofi.12885openalex-extracted
Lazy Prices
inferredcites →https://doi.org/10.1257/000282802762024683openalex-extracted
The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle
inferredcites →https://doi.org/10.1257/000282803321455322openalex-extracted
Winter Blues: A SAD Stock Market Cycle
inferredcites →https://doi.org/10.1257/aer.90.4.1005openalex-extracted
Losing Sleep at the Market: The Daylight Saving Anomaly
inferredcites →https://doi.org/10.1287/mnsc.2014.1921openalex-extracted
Forward-Looking MD&A Disclosures and the Information Environment
inferredcites →https://doi.org/10.1515/9781400865536openalex-extracted
Irrational Exuberance
inferredcites →https://doi.org/10.2139/ssrn.1920411openalex-extracted
Measuring Readability in Financial Disclosures
inferredcites →https://doi.org/10.2139/ssrn.2115197openalex-extracted
'Sell in May and Go Away' Just Won't Go Away
inferredcites →https://doi.org/10.2139/ssrn.2272463openalex-extracted
MD&A Disclosure and the Firm's Ability to Continue as a Going Concern
inferredcites →https://doi.org/10.2139/ssrn.265674openalex-extracted
Good Day Sunshine: Stock Returns and the Weather
inferredcites →https://doi.org/10.2139/ssrn.891735openalex-extracted
Driven to Distraction: Extraneous Events and Underreaction to Earnings News
inferredcites →https://doi.org/10.2307/2331047openalex-extracted
Interpreting Common Stock Returns around Proxy Statement Disclosures and Annual Shareholder Meetings
inferredcites →https://doi.org/10.2307/2331196openalex-extracted
Holiday Effects and Stock Returns: Further Evidence
inferredcites →https://doi.org/10.2307/2491062openalex-extracted
Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
inferredcites →https://doi.org/10.2308/accr-50649openalex-extracted
Narrative Disclosure and Earnings Performance: Evidence from R&D Disclosures
inferredcites →https://doi.org/10.2469/faj.v29.n6.67openalex-extracted
The Behavior of Stock Prices on Fridays and Mondays
inferredcites →https://doi.org/10.2308/accr-50983openalex-snapshot
MD&A Disclosure and the Firm's Ability to Continue as a Going Concern
inferredcites →https://doi.org/10.2469/faj.v69.n4.4openalex-snapshot
'Sell in May and Go Away' Just Won't Go Away
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