文章基本信息

标题：The Halloween Effect in the Brazilian Stock Market
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作者：Juliano Ribeiro de Almeida ; Guilherme Ribeiro de Almeida ; Daniel Reed Bergmann 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2017
卷号：14
期号：4
页码：597-628
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：The Halloween effect relates to the notion that stock market returns tend to be higher in the period from November to April than from May to October. In this study, we analyze the robustness of this trading strategy taking into account the individual returns of stocks traded in the Brazilian stock market during the period from August 1994 to June 2014. Using standard dummy regression approach introduced by Bouman and Jacobsen (2002), our results suggest the existence of the Halloween effect in the Brazilian market, which has shown to be economically and statistically significant, with a positive sign and a slight drop trend over the past few years. In addition, when reassessing these results using the
关键词：Halloween effect;anomalies;market efficiency;data-snooping;Efeito Halloween, anomalias, eficiência de mercado, data-snooping.