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The “sell in May” effect: an empirical investigation of globally listed private equity markets

Carmen Bachmann (Institute of Accounting, Finance and Taxation, Universitat Leipzig, Leipzig, Germany)
Lars Tegtmeier (Department of Business Administration and Information Sciences, Hochschule Merseburg, Merseburg, Germany)
Johannes Gebhardt (Institute of Accounting, Finance and Taxation, Universitat Leipzig, Leipzig, Germany)
Marcel Steinborn (Institute of Accounting, Finance and Taxation, Universitat Leipzig, Leipzig, Germany)

Managerial Finance

ISSN: 0307-4358

Article publication date: 23 May 2019

Issue publication date: 23 May 2019

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Abstract

Purpose

The purpose of this paper is to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004–2017.

Design/methodology/approach

Ordinary least squares regressions, generalized autoregressive conditional heteroscedasticity regressions and robust regressions are used to investigate the existence of the “Sell in May” effect in globally listed private equity markets. Additionally, the authors conduct robustness checks by dividing the sample period into two subperiods: pre-financial and post-financial crisis periods.

Findings

The authors find limited statistically significant evidence for the “Sell in May” effect. In particular, the authors observed a statistically significant “Sell in May” effect when taking time-varying volatility into account. These findings indicate that the “Sell in May” effect is driven by time-varying volatility. By contrast, economic significance as measured by visual return inspection and the magnitude of the estimated “Sell in May” coefficients in combination with their positive signs was found to be considerable.

Practical implications

The findings are important for all kinds of investors and asset managers who are considering investing in listed private equity.

Originality/value

The authors present a novel study that examines the “Sell in May” effect for globally listed private equity markets by using LPX indices, offering valuable insight into this growing asset class.

Keywords

Citation

Bachmann, C., Tegtmeier, L., Gebhardt, J. and Steinborn, M. (2019), "The “sell in May” effect: an empirical investigation of globally listed private equity markets", Managerial Finance, Vol. 45 No. 6, pp. 793-808. https://doi.org/10.1108/MF-07-2018-0322

Publisher

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Emerald Publishing Limited

Copyright © 2019, Emerald Publishing Limited

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