Sell in May and Go Away Effect: Evidence from Developed, Emerging, and Frontier Markets
| Metadata Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Hilliard, Jitka | |
| dc.contributor.author | Zhao, Ruwei | |
| dc.date.accessioned | 2013-11-08T20:44:30Z | |
| dc.date.available | 2013-11-08T20:44:30Z | |
| dc.date.issued | 2013-11-08 | |
| dc.identifier.uri | http://hdl.handle.net/10415/3898 | |
| dc.description.abstract | This thesis represents a comprehensive study of the Sell in May Effect. I follow the work of Bouman and Jacobsen (2002) and Andrade et al. (2013) on a large sample of countries consisting of 24 developed, 21 emerging and 25 frontier markets. I find evidence of the Sell in May Effect in developed, emerging as well as frontier markets. The strongest Sell in May Effect is found in emerging markets, representing 11.07% higher returns during the November-to-April compared to May-to-October time periods. | en_US |
| dc.rights | EMBARGO_NOT_AUBURN | en_US |
| dc.subject | Finance | en_US |
| dc.title | Sell in May and Go Away Effect: Evidence from Developed, Emerging, and Frontier Markets | en_US |
| dc.type | thesis | en_US |
| dc.embargo.length | NO_RESTRICTION | en_US |
| dc.embargo.status | NOT_EMBARGOED | en_US |