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Investigators from University of Hamburg Target General Finance (Are stock markets really so inefficient? The case of the "Halloween Indicator.")

July 26, 2014



By a News Reporter-Staff News Editor at Investment Weekly News -- Research findings on General Finance are discussed in a new report. According to news reporting originating from Hamburg, Germany, by VerticalNews correspondents, research stated, "The old and simple investment strategy 'Sell in May and Go Away' (also referred to as the 'Halloween effect') enjoys an unbroken popularity."

Our news editors obtained a quote from the research from the University of Hamburg, "Recent studies suggest that the Halloween effect even strengthened rather than weakened since its first publication by Bouman and Jacobsen (2002). We implement regression models as well as Hansen's (2005) 'Superior Predictive Ability' test to analyze whether stock markets are really so inefficient."

According to the news editors, the research concluded: "In line with the predictions of market efficiency, our results reject the hypothesis that a trading strategy based on the Halloween effect significantly outperforms."

For more information on this research see: Are stock markets really so inefficient? The case of the "Halloween Indicator." Finance Research Letters, 2014;11(2):112-121. Finance Research Letters can be contacted at: Academic Press Inc Elsevier Science, 525 B St, Ste 1900, San Diego, CA 92101-4495, USA. (Elsevier - www.elsevier.com; Finance Research Letters - www.elsevier.com/wps/product/cws_home/672908)

The news editors report that additional information may be obtained by contacting H. Dichtl, University of Hamburg, Inst Finance, D-20146 Hamburg, Germany.

Keywords for this news article include: Europe, Hamburg, Germany, General Finance

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC


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Source: Investment Weekly News


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