Sell in May and go away: the evidence in the international equity index futures markets-Reference-Cited by-同舟云学术

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Sell in May and go away: the evidence in the international equity index futures markets

Published:2017-12-13 Issue:2 Volume:18 Page:171-181
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Dzhabarov Constantine¹,Ziegler Alexandre²,Ziemba William T.³⁴

Affiliation:

1. Consultant, Surrey, BC, Canada.

2. Department of Banking and Finance, University of Zurich, Switzerland.

3. Financial Modeling and Stochastic Optimization (Emeritus), University of British Columbia, Vancouver, BC, Canada.

4. Systemic Risk Centre, London School of Economics, London, UK.

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1406232

Reference17 articles.

1. Seasonality in Stock and Bond ETFs (2001—2014): The Months Are Getting Mixed Up but Santa Delivers on Time

2. US stock returns: are there seasons of excesses?

3. The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle

4. Do Seasonal Anomalies Still Work?

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Can the Sell in May effect be enhanced by a size tilt?;Managerial Finance;2024-02-02

2. Irregularities in forward-looking volatility;The Quarterly Review of Economics and Finance;2022-11

3. A Riskmas Carol;Global Business Review;2020-12-13

4. Seasonal anomalies in the market for American depository receipts;Journal of Economics, Finance and Administrative Science;2019-11-04

5. Seasonal patterns and calendar anomalies in the commodity market for natural resources;Resources Policy;2019-10

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