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The Halloween Effect in US Sectors: Comment

Last Updated on 10 February, 2024 by Rejaul Karim

The Halloween Effect in US Sectors: Comment” by Ronald Q. Doeswijk critically examines the Jacobsen and Visaltanachoti (2009) study, arguing that it is incomplete and fails to consider key factors in their analysis of the Halloween effect or ‘Sell in May’ phenomenon.

By not mentioning the optimism cycle hypothesis among possible behavioral explanations for this well-established seasonal pattern, the study overlooks critical links between seasonal sector rotation strategies and investors’ optimism. Furthermore, Doeswijk contends that the sector rotation strategy documented in Jacobsen and Visaltanachoti (2009) is strikingly similar to Doeswijk (2005), necessitating a reference to the earlier work for a more comprehensive understanding.

This commentary aims to provide a more robust view and exploration of the seasonal patterns and potential driving factors behind the Halloween effect and related sector rotation strategies in the US market.

Abstract Of Paper

We argue that the Jacobsen and Visaltanachoti (2009) study is incomplete. Jacobsen and Visaltanachoti (2009) evaluate the Halloween effect or ‘Sell in May’-effect as documented by Bouman and Jacobsen (2002), and extend the analysis into the relative performances of sectors during the winter and summer period. First, Jacobsen and Visaltanachoti (2009) do not mention the optimism cycle hypothesis in their list of possible behavioral explanations for the well known seasonal pattern. Next, their documented sector rotation strategy looks strongly like Doeswijk (2005). By withholding a reference to Doeswijk (2005), they miss the opportunity to give a possible explanation for the seasonality in relative sector performances. Doeswijk (2005) suggests a link between the seasonal sector rotation strategy and a cycle in investors’ optimism.

Original paper – Download PDF

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Ronald Q. Doeswijk


In conclusion, Ronald Q. Doeswijk’s commentary on “The Halloween Effect in US Sectors” brings attention to the shortcomings of the Jacobsen and Visaltanachoti (2009) study, particularly its failure to consider the optimism cycle hypothesis and its striking resemblance to Doeswijk’s earlier work (2005).

By highlighting these oversights, Doeswijk effectively underscores the importance of a comprehensive understanding of the behavioral factors, such as investor optimism, driving seasonal patterns in stock markets like the Halloween effect.

Additionally, this commentary emphasizes the significance of proper referencing and acknowledging previous research to provide well-rounded explanations for observed phenomena. As insights into the complex world of finance evolve, considering different perspectives and examining a broader range of factors ultimately lead to a deeper comprehension and better strategies for investors, analysts, and professionals alike.

Related Reading:

The Halloween Effect in US Sectors: Comment

Global Tactical Sector Allocation: A Quantitative Approach


Q1: What is the main critique presented in Ronald Q. Doeswijk’s commentary?

The main critique revolves around the incompleteness of the Jacobsen and Visaltanachoti (2009) study on the Halloween effect or ‘Sell in May’ phenomenon. Doeswijk argues that the study fails to consider the optimism cycle hypothesis as a possible behavioral explanation for the observed seasonal pattern and does not reference his earlier work (Doeswijk, 2005), which presents a similar sector rotation strategy.

Q2: What is the optimism cycle hypothesis, and why is it important?

The optimism cycle hypothesis posits that changes in investor sentiment, particularly increased optimism as the year-end approaches, contribute to the observed seasonal patterns in stock returns, such as the Halloween effect. Doeswijk argues that the omission of this hypothesis in the Jacobsen and Visaltanachoti study overlooks a crucial factor influencing the seasonal sector rotation strategy.

Q3: How does Doeswijk’s commentary contribute to the understanding of the Halloween effect?

Doeswijk’s commentary contributes by emphasizing the importance of considering different behavioral explanations, particularly the optimism cycle hypothesis, when studying seasonal patterns like the Halloween effect. It also underscores the significance of acknowledging and referencing earlier work, providing a more robust and comprehensive view of the factors influencing sector rotation strategies in the US market during specific periods.

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