dc.contributor.advisor | Hunneman, Auke. | |
dc.contributor.author | Henriksen, Jeanette Kristine Selsås. | |
dc.contributor.author | Syla, Blerina. | |
dc.date.accessioned | 2021-09-08T16:26:56Z | |
dc.date.available | 2021-09-08T16:26:56Z | |
dc.date.issued | 2021 | |
dc.identifier | no.uis:inspera:82490702:18046753 | |
dc.identifier.uri | https://hdl.handle.net/11250/2774737 | |
dc.description.abstract | The “Sell in May” effect has in previous research been referred to as a puzzle that remains to
be solved. The persistence of the anomaly would pose a challenge to the notion of market
efficiency and provide investors with an easy way to earn abnormal returns. With stock price
data covering 99 different markets we analyze the presence of a statistically significant “Sell
in May” effect in a total sample period from 1928 to 2020. Additionally, Hofstede's cultural
dimensions are included in the analysis as an attempt to explain the phenomenon.
The time-series regressions provide evidence of a significant “Sell in May'' effect in 30
countries which is reduced to 27 when controlling for the January effect. The SIM effect is
found to have a significant and positive impact on returns in both time-series regression and
panel data regression. The results suggest a more pronounced SIM effect in developed markets
and geographically in Europe and Asia. Panel data regression reveals that the regions South
America and Europe contribute to explaining the phenomenon with significant and positive
interaction effects. Additionally, the two cultural dimensions Indulgence and Long Term
Orientation are found to explain the SIM effect and Hofstede has thus provided a piece of the
puzzle. | |
dc.description.abstract | | |
dc.language | eng | |
dc.publisher | uis | |
dc.title | “The Sell in May” effect: Can Hofstede solve the puzzle? | |
dc.type | Master thesis | |