Year: 2025
Type: article
Abstract: We propose a new puzzle piece for the Halloween effect ("Sell in May and Go Away") by identifying a seasonal pattern in SEC regulatory disclosures that aligns with the effect's summer and winter periods. From 2004 to 2023, SEC filing volumes are 17% higher in winter (November-April) than in summer (May-October). Winter also sees a 22% rise in insider trading, 13% more private securities offerings, 12% more activist investor activity, a 96% increase in shareholder meetings, and 473% more annual reports. February consistently marks the peak in disclosures, and September the low. Similar patterns across European markets suggest global consistency. As regulatory filings contain material pricerelevant information, this seasonal disclosure pattern offers a new contributing factor to the Halloween effect puzzle.
DOI: 10.3390/ijfs13040208
Author: J Schroeder
Institution: TU Dortmund University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,172
OpenAlex ID: W4415926201