Access the full text.
Sign up today, get DeepDyve free for 14 days.
Yih-Wen Shiu, Chun Lee, Kimberly Gleason (2014)
Institutional shareholdings and the January effects in TaiwanJournal of Multinational Financial Management, 27
P. Huber (1973)
Robust Regression: Asymptotics, Conjectures and Monte CarloAnnals of Statistics, 1
C. Moreno (2020)
Análisis comparativo de rentabilidades de un portafolio de inversión valorado con diferentes metodologías
D. Kliger, BG Malkiel (2007)
Efficient capital markets: A review of theory and empirical work
Jörg Döpke, Lars Tegtmeier (2018)
Global risk factors in the returns of listed private equityStudies in Economics and Finance
Tim Bollerslev, R. Chou, K. Kroner (1992)
ARCH modeling in finance: A review of the theory and empirical evidenceJournal of Econometrics, 52
J. Vieito, W. Wong, Zhenzhen Zhu (2016)
Could the global financial crisis improve the performance of the G7 stocks markets?Applied Economics, 48
B. Jacobsen, S. Bouman (2001)
The Halloween Indicator, 'Sell in May and Go Away': Another PuzzleInternational Finance
Michael Rozeff, William Kinney (1976)
Capital market seasonality: The case of stock returnsJournal of Financial Economics, 3
E. Hui, J. Wright, S. Yam (2014)
Calendar Effects and Real Estate SecuritiesThe Journal of Real Estate Finance and Economics, 49
Satish Kumar, Rajesh Pathak (2016)
Do the calendar anomalies still exist? Evidence from Indian currency marketManagerial Finance, 42
Sidney Wachtel (1942)
Certain Observations on Seasonal Movements in Stock PricesThe Journal of Business, 15
Douglas Cumming, G. Fleming, S. Johan (2010)
Institutional Investment in Listed Private EquityWiley-Blackwell: European Financial Management Journal
M. Bauer, S. Bilo, H. Zimmermann (2001)
Publicly traded private equity: an empirical investigation
K. Haggard, Jeffrey Jones, H. Witte (2015)
Black cats or black swans? Outliers, seasonality in return distribution properties, and the Halloween effectManagerial Finance, 41
M. Huss, H. Zimmermann (2012)
Listed Private Equity: A Genuine Alternative for an Alternative Asset Class
International Review of Financial Analysis, 38
Econometrica, 55
B. Jacobson, C.Y. Zhang (2014)
The Halloween indicator, ‘sell in May and go away’: an even bigger puzzle
Lezama Palomino, J. Carlos. (2020)
Efecto del mercado de futuros en la volatilidad del mercado SPOT: caso aplicado al mercado accionario colombiano
Thomas Degenhardt, B. Auer (2018)
The “Sell in May” effect: A review and new empirical evidenceThe North American Journal of Economics and Finance, 43
E. Hui, Ka Chan (2015)
Testing calendar effects on global securitized real estate markets by Shiryaev-Zhou indexHabitat International, 48
H. Dichtl, W. Drobetz (2014)
Sell in May and Go Away: Still Good Advice for Investors?Capital Markets: Market Efficiency eJournal
American Economic Review, 92
K. Haggard, H. Witte (2010)
The Halloween effect: Trick or treat?International Review of Financial Analysis, 19
D. Brounen, Y. Ben-Hamo (2009)
Calendar Anomalies: The Case of International Property SharesThe Journal of Real Estate Finance and Economics, 38
Nicholas Moller, Shlomo Zilca (2008)
The evolution of the January effectJournal of Banking and Finance, 32
Tim Bollerslev (1986)
Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 31
Biao Guo, Xingguo Luo, Ziding Zhang (2014)
Sell in May and Go Away: Evidence from ChinaFinance Research Letters, 11
J. Gupta, Sardana Sankalp (2017)
The Impact of Global Financial Crisis on Market Efficiency: An Empirical Analysis of the Indian Stock MarketInternational journal of economics and finance, 9
Tiago Carrazedo, J. Curto, Luís Oliveira (2016)
The Halloween effect in European sectorsResearch in International Business and Finance, 37
Whitney Newey, K. West (1986)
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance MatrixEconometrics eJournal
D. Baur (2013)
The autumn effect of goldResearch in International Business and Finance, 27
The purpose of this paper is to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004–2017.Design/methodology/approachOrdinary least squares regressions, generalized autoregressive conditional heteroscedasticity regressions and robust regressions are used to investigate the existence of the “Sell in May” effect in globally listed private equity markets. Additionally, the authors conduct robustness checks by dividing the sample period into two subperiods: pre-financial and post-financial crisis periods.FindingsThe authors find limited statistically significant evidence for the “Sell in May” effect. In particular, the authors observed a statistically significant “Sell in May” effect when taking time-varying volatility into account. These findings indicate that the “Sell in May” effect is driven by time-varying volatility. By contrast, economic significance as measured by visual return inspection and the magnitude of the estimated “Sell in May” coefficients in combination with their positive signs was found to be considerable.Practical implicationsThe findings are important for all kinds of investors and asset managers who are considering investing in listed private equity.Originality/valueThe authors present a novel study that examines the “Sell in May” effect for globally listed private equity markets by using LPX indices, offering valuable insight into this growing asset class.
Managerial Finance – Emerald Publishing
Published: May 23, 2019
Keywords: “Sell in May” effect; Calendar anomaly; Dummy regression; Listed private equity; G10; G11; G14; G15
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.