By a News Reporter-Staff News Editor at Investment Weekly News -- A new study on Finance - Economics and Finance is now available. According to news reporting from Munich, Germany, by VerticalNews journalists, research stated, “In this article, we revisit a stock market anomaly widely known as the ‘Sell in May’ (SIM) effect according to which returns tend to be higher in winter months than in summer months. Motivated by the increased attention this phenomenon has recently received in top-tier finance journals, we provide two contributions.”
The news correspondents obtained a quote from the research, “First, we review the academic literature by systematically comparing studies in terms of their country coverage, methodology, results, explanations, trading implications and potential post-publication disappearance in order to derive a general picture on the existence and practical relevance of the SIM effect. Second, we extend the empirical work on the subject by analyzing whether the SIM effect exists in investment universes of highly liquid individual stocks and commodity futures which we would expect to be most efficiently priced. Our results indicate that this is indeed the case (with a higher effect strength in the stock market than in the commodity futures market). Furthermore, our findings support earlier studies showing that the effect is robust (across testing approaches and time) and appears to be concentrated in the industrial sector.”
According to the news reporters, the research concluded: “However, we find that the SIM effect has become weaker (stronger) in the stock (commodity) market since it has become part of the public information set and that the effectiveness and persuasiveness of standard investment strategies based on the effect are limited.”
For more information on this research see: The “Sell in May” effect: A review and new empirical evidence. North American Journal of Economics and Finance , 2018;43():169-205. North American Journal of Economics and Finance can be contacted at: Elsevier Science Inc, 360 Park Ave South, New York, NY 10010-1710, USA. (Elsevier - www.elsevier.com; North American Journal of Economics and Finance - http://www.journals.elsevier.com/north-american-journal-of-economics-and-finance/)
Our news journalists report that additional information may be obtained by contacting B.R. Auer, CESifo Munich, Munich, Germany.
The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.najef.2017.09.003. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.
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CITATION: (2018-04-14), Studies from B.R. Auer et al Add New Findings in the Area of Economics and Finance (The “Sell in May” effect: A review and new empirical evidence), Investment Weekly News, 533, ISSN: 1945-8185, BUTTER® ID: 015455828
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