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The authors evaluate the Sell in May effect in the Canadian context to comprehensively explore the Sell in May effect as well as its interactions with the size effect and risk and with multiple indices.

The authors use ordinary least squares (OLS) regressions to examine the Sell in May effect and Huber M-estimation to handle potential outliers. They also use the generalized autoregressive conditional heteroskedasticity (GARCH) models to explore the role of risk in the Sell in May effect.

The results demonstrate that the Sell in May effect is present in all three main Canadian stock market indices. More telling, the anomaly is strongest in small cap indices and in indices that give equal weighting to small and large cap stocks. They do not find that the effect is driven by risk.

While several papers have explored the Sell in May phenomenon in several countries, little scholarly attention has been paid to this effect in Canada and to its interaction with the size effect. The authors contribute to the literature by examining of the interactions between Sell in May and the size effect in Canada. They examine the Sell in May effect using CFMRC value-weighted and equally weighted indices of all Canadian companies. They also incorporate in their analysis the role of risk.

In recent years, student-managed investment funds (SMIFs), experiential learning programs at an increasing number of universities, have attracted significant scholarly interest. In this article, we review the academic literature on this pedagogy.

We use the systematic review method to assess a sample of 85 articles published in 30 journals during the period 1975 to 2020.

Our literature review reveals four streams of research: best practices and challenges, investment management, innovation and trends and SMIFs in a research setting. We also propose future research directions, including specific gaps in the literature, a focus on innovations to traditional programs, systematic investment performance and expansion into behavioral finance issues.

We contribute a comprehensive view of the body of scholarship on SMIFs, identifying existing streams of research and future research directions that will help guide the development of SMIF research into a cohesive and productive space.