The Halloween Effect in European Equity Mutual Funds
José Dias Curto1,*, Luís Oliveira1 and Ana Rita Matilde2
1ISCTE-IUL Business School and BRU-UNIDE, Complexo INDEG/ISCTE, Av. Forças Armadas, 1649-026 Lisboa, Portugal
2Faculdade de Ciências da Universidade de Lisboa, Campo Grande, 1749-016 Lisboa, Portugal
We extend the evidence on the Halloween effect (returns during the months of May to October tend to be lower than returns during the months of November to April) in stock markets by examining the return pattern of 145 European Equity Mutual Funds from 1997 to 2013. The main purpose is to investigate if previously predictabilities in equity stock markets returns are reflected in mutual funds. We conclude that (i) the Halloween effect is statistically and economically significant; (ii) this effect has disappeared after the Bouman and Jacobsen (2002) publication; (iii) an investment strategy based on this anomaly clearly beats the buy-and-hold strategy. JEL Classification code: G10, G14.
JEL Classifications: F34, G12, E43, E62.
Halloween effect, market efficiency, calendar anomalies, mutual funds, market returns.