O Efeito Halloween no Mercado Acionário Brasileiro

The Halloween effect relates to the notion that stock market returnstend to be higher in the period from November to April than from May toOctober. In this study, we analyze the robustness of this trading strategytaking into account the individual returns of stocks traded in the Brazilianstock market during the period from August 1994 to June 2014. Using standarddummy regression approach introduced by Bouman and Jacobsen (2002), ourresults suggest the existence of the Halloween effect in the Brazilianmarket, which has shown to be economically and statistically significant,with a positive sign and a slight drop trend over the past few years. Inaddition, when reassessing these results using the "Superior PredictiveAbility Test" of Hansen (2005), we have found that an investment strategybased on the Halloween effect generates a statistically significant returnssuperior to a buy-and-hold strategy when the effects of data-snooping whendata-snooping effects are not neglected in the stock returns series, as inBouman and Jacobsen (2002).