The Jewish Holiday Effect: Sell Rosh Hashanah, Buy Yom Kippur
This paper investigates the validity of the old Wall Street adage,"Sell Rosh Hashanah, buy Yom Kippur." The authors examine daily returns of the Dow Jones Industrial Average between 1907 and 2008 and evaluate a strategy, based on this heuristic, of selling short before Rosh Hashanah and covering after Yom Kippur. They find that such a strategy would have produced statistically and economically significant returns.
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