Farang
Membro participativo
Teoria conhecida de comprar no fim de Outubro e vender no início de Maio, porque os restantes meses não são relevantes.
The Halloween indicator is a variant of the stock market adage "Sell in May and go away," the belief that the period from November to April inclusive has significantly stronger growth on average than the other months.[1] In such strategies, stocks are sold at the start of May and the proceeds held in bonds or a deposit account; stocks are bought again in the autumn, typically around Halloween.
Though this effect is often cited informally, it has largely been ignored in academic circles (perhaps being assumed to be a mere superstition). Nonetheless analysis by Bouman and Jacobsen (2002) shows that the effect has indeed occurred in 36 out of 37 countries examined, and since the 17th century (1694) in the United Kingdom ; it is strongest in Europe.
It is not clear what causes the effect, though it is often thought to be related to summer vacations.
Most interesting about the effect is that it shows that stock market returns in many countries during the period May-October are systematically negative or lower than the short term interest rate, which challenges current academic financial theory. Stock market returns should not be predictably lower than the short term interest rate (risk free rate).
Popular media often refer to this market wisdom in the month of May, claiming that in the six months to come things will be different and the pattern will not show. However, as the effect has been strongly present in most developed markets (including the United States, Canada, Japan, the United Kingdom and most European countries) in the last decade - especially May-October 2008 - these claims are often proved wrong.
One study which tests the Halloween indicator in US equity markets found similar results as Bouman and Jacobsen (2002) over the same time period but using futures data over the period April 1982- April 2003 and after excluding the years 1987 and 1998 no longer found a significant effect, leading these researchers to conclude that it was not an "exploitable anomaly' during that time period in the United States." [2]
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