Halloween Stuff

I was reading about irrational decision-making and wondered if ...

>If you were irrational, right?
Me? Never! But what might affect investors' decisions, some irrational influence, like maybe ...
>Halloween!
You got it! I thought that maybe, just maybe, Halloween Hobgoblins were at work.
Investors are frightened. They dump their stock ... and the market tanks.
>And?
And I get this, comparing the average return on the last day of October to the average of all end-of-month returns.
I look at the difference between these two averages and see that Hobgoblins actually like halloween.

With few exceptions, stocks have larger gains on Halloween than on other end-of-month days.

There's a spreadsheet to play with, here: http://www.gummy-stuff.org/Excel/halloween.xls
>So end-of-October ain't bad, eh?
No, but end-of-February is pretty bad:

It seems there's something called the Halloween Indicator.
It suggests you be in Cash during the Summer months (starting in May) then Buy after Halloween (Nov 1).

>Isn't that "Sell in May then Go Away"?
Yes! Have you heard of it?
>No.


Well, we decided to test the idea and got this, comparing the total (cumulative) gain fo the period (Nov-to-Apr) and that for the period (May-to-Oct).
We looked at the 10-years from Jan 1, 1999 to Jan 1, 2009 ... and got this for various country indexes:

>Uh ... I see it's getting close to the end of October. Excuse me while I Buy some stocks ...

Oh, I forgot to mention the other spreadsheet: http://www.gummy-stuff.org/Excel/halloween2.xls
You might like to replace country indexes with stock symbols ... just to see if'n "Sell in May then Go Away" works for stocks.