The Halloween indicator, "sell in may and go away": Another puzzle

[11] MARKET TIMING AND MUTUAL FUND PERFORMANCE - AN EMPIRICAL-INVESTIGATION [J]. JOURNAL OF BUSINESS, 1984, 57 (01) : 73 - 96

[12] LEVIS M, 1985, INVESTMENT ANAL, V76, P21

[13] McQueen G., 1999, Financial Analysts Journal, V55, P61

[14] ON MARKET TIMING AND INVESTMENT PERFORMANCE .1. AN EQUILIBRIUM-THEORY OF VALUE FOR MARKET FORECASTS [J]. JOURNAL OF BUSINESS, 1981, 54 (03) : 363 - 406

[15] A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS [J]. JOURNAL OF FINANCIAL RESEARCH, 1988, 11 (01) : 57 - 70

[16] Solnik B., 1993, Journal of Empirical Finance, V1, P33, DOI [10.1016/0927-5398(93)90004-B, DOI 10.1016/0927-5398(93)90004-B]

[17] Dangers of data mining: The case of calendar effects in stock returns [J]. JOURNAL OF ECONOMETRICS, 2001, 105 (01) : 249 - 286

[18] Market timing on the Johannesburg Stock Exchange using derivative instruments [J]. OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, 1997, 25 (01): : 81 - 91

[19] A HETEROSKEDASTICITY-CONSISTENT COVARIANCE-MATRIX ESTIMATOR AND A DIRECT TEST FOR HETEROSKEDASTICITY [J]. ECONOMETRICA, 1980, 48 (04) : 817 - 838

[20] 1992, ECONOMIST 0711, V324, P71

[11] MARKET TIMING AND MUTUAL FUND PERFORMANCE - AN EMPIRICAL-INVESTIGATION [J]. JOURNAL OF BUSINESS, 1984, 57 (01) : 73 - 96

[12] LEVIS M, 1985, INVESTMENT ANAL, V76, P21

[13] McQueen G., 1999, Financial Analysts Journal, V55, P61

[14] ON MARKET TIMING AND INVESTMENT PERFORMANCE .1. AN EQUILIBRIUM-THEORY OF VALUE FOR MARKET FORECASTS [J]. JOURNAL OF BUSINESS, 1981, 54 (03) : 363 - 406

[15] A COMPREHENSIVE EXAMINATION OF VOLUME EFFECTS AND SEASONALITY IN DAILY SECURITY RETURNS [J]. JOURNAL OF FINANCIAL RESEARCH, 1988, 11 (01) : 57 - 70

[16] Solnik B., 1993, Journal of Empirical Finance, V1, P33, DOI [10.1016/0927-5398(93)90004-B, DOI 10.1016/0927-5398(93)90004-B]

[17] Dangers of data mining: The case of calendar effects in stock returns [J]. JOURNAL OF ECONOMETRICS, 2001, 105 (01) : 249 - 286

[18] Market timing on the Johannesburg Stock Exchange using derivative instruments [J]. OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, 1997, 25 (01): : 81 - 91

[19] A HETEROSKEDASTICITY-CONSISTENT COVARIANCE-MATRIX ESTIMATOR AND A DIRECT TEST FOR HETEROSKEDASTICITY [J]. ECONOMETRICA, 1980, 48 (04) : 817 - 838

[20] 1992, ECONOMIST 0711, V324, P71