Really? Check out the article by Bouman and Jacobsen on the "Halloween Indicator" downloadable from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=76248. They find that "stock market returns should be higher in the November-April period than those in the May-October period. Surprisingly, we find this inherited wisdom to be true in 36 of the 37 developed and emerging markets studied in our sample. The 'Sell in May' effect tends to be particularly strong in European countries and is robust over time. Sample evidence, for instance, shows that in the UK the effect has been noticeable since 1694."
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