Abstract

We carry out an in-depth analysis of patterns in stock market returns in seven Latin American countries to identify the presence and persistence of the “sell in May and go away” strategy. We use a predictive ability test to consider data snooping problems and the statistical interference of rules based only on historical asset prices. In line with the efficient market hypothesis, our results show that a trading strategy based on the Halloween effect never offered a significantly superior investment strategy than a “buy and hold” benchmark strategy in Latin American countries.

中文翻译：

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拉美股市“五月卖出”策略分析

摘要

我们对七个拉丁美洲国家的股票市场回报模式进行了深入分析，以确定“五月卖出”策略的存在和持续性。我们使用预测能力测试来考虑数据窥探问题和仅基于历史资产价格的规则的统计干扰。根据有效市场假设，我们的结果表明，基于万圣节效应的交易策略从未提供比拉丁美洲国家的“买入并持有”基准策略明显优越的投资策略。