"Sell in May and Go Away" Just Won't Go Away

The authors performed an out-of-sample test of the sell-in-May effect documented in previous research. Reducing equity exposure starting in May and levering it up starting in November persists as a profitable market-timing strategy. On average, stock returns are about 10 percentage points higher for November-April half-year periods than for May-October half-year periods. The authors also found that the sell-in-May effect is pervasive in financial markets.