Solving the halloween indictor puzzle : market efficiency still reigns

Prior research by Bouman and Jacobsen (2002) document unusually high monthly returns over the period November-April for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. The implication is that the Halloween effect represents an exploitable anomaly, which has negative implications for stock market efficiency. We extend this research to the S&P 500 futures contract and find no evidence of an exploitable Halloween effect over the period April 1982 through April 2003. Re-examining Bouman and Jacobsen’s empirical results for the U.S., we find that two outliers drive their results. These two outliers are associated with the “Crash” in October 1987 and collapse of the hedge fund Long-Term Capital Management in August 1998. After inserting a dummy variable to account for the impact of the two identified outliers, the Halloween effect disappears.

Stock market efficiency withstands another challenge : solving the “sell in May/buy after Halloween” puzzle

Examining the years 1970 to 1998, Bouman and Jacobsen (2002) document unusually high monthly returns during the November-April periods for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. Their research suggests that the Halloween effect represents an exploitable anomaly and has negative implications for claims of stock market efficiency.

Re-examining Bouman and Jacobsen’s empirical results for the U.S. reveals that their results are driven by two outliers, the “Crash” of October 1987 and the collapse of the hedge fund Long-Term Capital Management in August 1998. After inserting a dummy variable to account for the impact of the two identified outliers, the Halloween effect becomes statistically insignificant. This anomaly is not economically exploitable for U.S. equity markets. We extend the research to the S&P 500 futures contract and find no evidence of an exploitable Halloween effect over the period April 1982-April 2003.

The halloween effect and Japanese equity prices : myth or exploitable anomaly

Bouman and Jacobsen (American Economic Review 92(5), 1618–1635, 2002) examine monthly stock returns for major world stock markets and conclude that returns are significantly lower during the May–October periods versus the November–April periods in 36 of 37 markets examined. They argue that, in general, the Halloween strategy outperforms the buy and hold strategy thereby casting doubt on the validity of the efficient market paradigm. More recently, Maberly and Pierce (Econ Journal Watch 1(1), 29–46, 2004) re-examine the evidence for U.S. equity prices and conclude that Bouman and Jacobsen’s results are not robust to alternative model specifications. Extending prior research, this paper examines the robustness of the Halloween strategy to alternative model specifications for Japanese equity prices. The Halloween effect is concentrated in the period prior to the introduction of Nikkei 225 index futures in September 1986. After the internationalization of Japanese financial markets in the mid-1980s, the Halloween effect disappears.

Witch laughing and coughing with thunder (saying "it's Halloween") 02

A sound recording of a female voices cackling like a witch and saying "it's Halloween!" amidst a storm. A file for Halloween projects.

Halloween witches and monsters SFX

A sound effect of vocal recordings and sound design depicting halloween styled monsters, witches, ghouls.

Halloween witches and monsters with bell SFX

A sound effect of vocal recordings and sound design depicting halloween styled monsters, witches, ghouls and a bell striking to midnight.

Halloween church bells loop SFX

A sound effect of a creepy styled church bell that loops.

Nightmares and Ghosts SFX COLLAGE

A composition of sound effects that creates a nightmare styled collage. Good for Halloween and cinematic styled projects.

Who is he now? The unearthly David Bowie

The question that has led and organised this special edition on David Bowie draws provocative attention to the way his career has been narrated by the constant transformation and recasting of his star image. By asking who is he now? the edition recognises that Bowie is a chameleon figure, one who reinvents himself in and across the media and art platforms that he is found in. This process of renewal means that Bowie constantly kills himself, an artistic suicide that allows for dramatic event moments to populate his music, and for a rebirth to emerge at the same time or shortly after he expires. Bowie has killed Major Tom, Ziggy Stardust, Halloween Jack, Aladdin Sane, and the Thin White Duke to name but a few of his alter-egos. In this environment of death and resurrection, Bowie becomes a heightened, exaggerated enigma, a figure who constantly seems to be artificial or constructed and yet whose work asks us to look for his real self behind the mask – to ask the question, is this now the real Bowie that faces us? Of course, the answer is always no because Bowie is a contradictory constellation of images, stories and sounds whose star image rests on remaining an enigma, and like all stars in our midst, exists as a representation. Nonetheless, with Bowie - with this hyper- schizophrenic, confessional artist – the fan desire to get to know him, to immerse oneself in his worlds, fantasises, and projections - is particularly acute. With the unexpected release of The Next Day ((Iso/Columbia) on the 8th March 2013, the day of his 66th birthday, Bowie was resurrected again. The album and subsequent music videos drew explicitly on the question of who Bowie was and had been, creating a media frenzy around his past work, fan nostalgia for previous Bowie incarnations, and a pleasurable negotiation with his new output. In this special edition, edited by life-long Bowie fans, with contributions from die-hard Bowie aficionados, we seek to find him in the fragments and remains of what once was, and in the new enchantments of his latest work.

The Christmas effect-special dividend announcements

This paper examines the Halloween effect in special dividend announcements. We find that firms are more likely to announce special dividends at the end of a year, especially in the months of November and December. There is a Halloween effect in the announcements, but more importantly, there is a Christmas effect in the propensity and abnormal returns of special dividends. This paper provides initial evidence on the Christmas effect of special dividend payments. It links monthly effects in stock returns and corporate events to explain the likelihood of the occurrence of special dividend announcements. The results of this paper shed light on why corporate events are more likely to occur in some periods, but less likely to occur in others.

Another January effect—evidence from stock split announcements

This paper examines whether there is a January effect in the propensity and abnormal returns of stock split announcements. It provides primary evidence in the investigation of using monthly effects to explain the patterns of stock splits. The results show that the January effect exists in the likelihood of the occurrence of share splits and in the associated short-term abnormal returns. We also find that another monthly effect—the Halloween effect—exists in stock split announcements. However, the January effect has a much larger and considerably more significant impact on the probability and returns of these announcements. The results of this paper shed light on why we observe patterns in the announcement of corporate events.