dc.contributor.advisor | Zakamulin Ivanovich ,Valeriy | |
dc.contributor.author | Konsmo, Emil Sebastian | |
dc.contributor.author | Fjeldberg, Audun Przytula | |
dc.date.accessioned | 2022-08-13T16:23:16Z | |
dc.date.available | 2022-08-13T16:23:16Z | |
dc.date.issued | 2022 | |
dc.identifier | no.uia:inspera:110159342:22882138 | |
dc.identifier.uri | https://hdl.handle.net/11250/3011709 | |
dc.description.abstract | Abstract
Several studies have presented evidence for higher returns in stock markets from the beginning
of November to the end of April compared to the rest of the year. This phenomenon is well
known as the Sell-in-May effect. The main focus of this thesis is to investigate whether the Sellin-May effect still exists in financial markets and whether the power of the effect deviates
between time and markets. Additionally, we investigate discrepancies in risk and return
between the summer and winter months, as well as the January effect, in order to examine
whether these explanations could help us understand the existence of the Sell-in-May effect. In
an effort to examine if the investors could exploit and profit from the market anomaly, we
developed and simulated a trading strategy based on the Sell-in-May effect and performed
various statistical tests against the Buy-and-Hold benchmark strategy. The output from the
regression model showed evidence of an existing Sell-in-May effect. Neither the January effect
nor differences in risk proved to be viable explanations for the existence of the effect. Further
results indicated that the Sell-in-May strategy outperformed the Buy-and-Hold strategy in most
scenarios, indicating that investors could exploit and profit from the market anomaly. | |
dc.description.abstract | | |
dc.language | | |
dc.publisher | University of Agder | |
dc.title | The Sell-in-May Effect in International Stock Markets | |
dc.type | Master thesis | |