Sell in May and Go Away Effect: Evidence from Developed, Emerging, and Frontier Markets

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.