Faculty Publications - College of Business

Document Type


Publication Date



This paper uses stock market returns (2007-2015) and confirms the existence of Halloween effect anomaly after the 2008 financial crisis. Findings suggest that the Halloween effect can still be observed in 34 out of the 35 countries. A more aggressive trading strategy of shorting the market during summer and taking a long position in winter yields 4.77% more than the buy-and-hold strategy. A new explanation is offered for the persistence of the Halloween effect. A positive feedback between investors’ belief and behavior causes the market to underperform in the summer and recover in the winter, resulting in a self-fulfilling prophecy.


Originally published in the Journal of Accounting and Finance, Vol. 17, No. 6, 2017, pp. 96-108.

Included in

Business Commons