the most intensive data was probably collected on the curious "Halloween indicator". The 6-month returns on average is 4% higher during November-April than May-October for stocks in almost all stock markets.
"...Our data consists of all 114 stock markets with stock market indices in the world for which price indices exist and in total we have almost 63,000 monthly returns. The sample starts with the UK stock market in 1693 and ends with the addition of the stock market of Rwanda which starts in 2013. "
see The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time
However, I do not recommend investing in this way.
Just wanted to say a big thank you for this edition — it was outstanding.
As someone who’s passionate about understanding markets beyond the headlines, your curation of these foundational papers (with clear summaries) is incredibly valuable. It’s rare to find a newsletter that not only shares insights, but also sharpens how we think as investors.
Awesome list.
The best part is seeing how much of good investing comes down to judgment, not just models.
Feels like sharpening mental flexibility — not just building conviction — is the real edge most people miss.
Appreciate you putting this together.
Thank you so much, Chase!
Thank you for compiling this - some great papers in here!
Thank you so much, ShowMeTheValue. I'm glad you liked it!
Damn this is a gold mine! THANK YOU 🙏
Thank you so much, Andy! Welcome to the club.
the most intensive data was probably collected on the curious "Halloween indicator". The 6-month returns on average is 4% higher during November-April than May-October for stocks in almost all stock markets.
"...Our data consists of all 114 stock markets with stock market indices in the world for which price indices exist and in total we have almost 63,000 monthly returns. The sample starts with the UK stock market in 1693 and ends with the addition of the stock market of Rwanda which starts in 2013. "
see The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time
However, I do not recommend investing in this way.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2154873
This is amazing. Will be referencing this article a ton going forward for some good reads. Thanks Jimmy
Thank you so much, Macro! I’m glad you liked it. Welcome aboard!!!
Priceless selection, these are keepers . Thank you !!!
Thanks for the comment, Ivan!
An eclectic list of intriguing papers. Thanks for sharing!
Thank you, my friend Mihail!!!
I don't read academic papers.
I line my bird cage with then.
Thank you!
Thank you, Facundo!
Thank you for compiling and sharing !
Thank you, Deepak! You're very welcome.
Amazing thank you Jimmy!
Thanks, Ben! (By the way, great profile pic hahaha)
Thank you! It captures my essence
Wonderful post, everything at one place, thanks for valuable insight.
Thank you so much for your constant feedback, Aarush!
I like how you've also divided the list into different named categories - a helpful reminder to keep a broad perspective on things!
Thanks a lot, Jens!!!
Thank you for sharing! So many great sources—amazing opportunities to learn.
Thank you so much, Tayga! It's an honor to have you here.
Just wanted to say a big thank you for this edition — it was outstanding.
As someone who’s passionate about understanding markets beyond the headlines, your curation of these foundational papers (with clear summaries) is incredibly valuable. It’s rare to find a newsletter that not only shares insights, but also sharpens how we think as investors.
Thank you so much for the comment, Alexander! I’m honored that you see us that way. Let’s keep pushing forward!