Author's Keywords: Halloween effect, anomalies, market efficiency, data-snooping	Convention All Academic Convention makes running your annual conference simple and cost effective. It is your online solution for abstract management, peer review, and scheduling for your annual meeting or convention. Submission - Custom fields, multiple submission types, tracks, audio visual, multiple upload formats, automatic conversion to pdf. Review - Peer Review, Bulk reviewer assignment, bulk emails, ranking, z-score statistics, and multiple worksheets! Reports - Many standard and custom reports generated while you wait. Print programs with participant indexes, event grids, and more! Scheduling - Flexible and convenient grid scheduling within rooms and buildings. Conflict checking and advanced filtering. Communication - Bulk email tools to help your administrators send reminders and responses. Use form letters, a message center, and much more! Management - Search tools, duplicate people management, editing tools, submission transfers, many tools to manage a variety of conference management headaches! Click here for more information.
Association: Name: BALAS URL: http://http://www.balas.org/
Citation: URL: http://citation.allacademic.com/meta/p1368401_index.html Direct Link: HTML Code:

Almeida, Juliano., Almeida, Guilherme., Bergmann, Daniel., Savoia, José Roberto. and Silva, Fabiana. "Are Latin American Stock Markets Efficient? The Implications of the Halloween Strategy" Paper presented at the annual meeting of the BALAS, University of San Diego, San Diego, USA, Mar 21, 2018 <Not Available>. 2018-10-15 <http://citation.allacademic.com/meta/p1368401_index.html>

Almeida, J. R., Almeida, G. R., Bergmann, D. R., Savoia, J. F. and Silva, F. L. , 2018-03-21 "Are Latin American Stock Markets Efficient? The Implications of the Halloween Strategy" Paper presented at the annual meeting of the BALAS, University of San Diego, San Diego, USA Online <APPLICATION/PDF>. 2018-10-15 from http://citation.allacademic.com/meta/p1368401_index.html

Publication Type: Conference Paper/Unpublished Manuscript Review Method: Peer Reviewed Abstract: We carry out an in-depth analysis of the patterns of stock market returns in seven Latin American countries – Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, and Peru – to identify the presence and persistence of the investment strategy based on the Halloween effect. In addition, to test whether these markets are efficient, we reevaluate the Halloween effect using a predictive ability test based on Hansen (2005). We find that the Halloween effect has strongly weakened or even disappeared in recent years. Overall, our findings reject the hypothesis that a trading strategy based on the Halloween effect significantly outperforms a buy-and-hold strategy.