A New Puzzle Piece for the “Sell in May, and Go Away” Anomaly: Regulatory Disclosures

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 were 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 shows the highest number of disclosures, while September shows the lowest. Similar patterns across European markets suggest global consistency. As regulatory filings contain material price-relevant information, this seasonal disclosure pattern offers a new contributing factor to the Halloween effect puzzle.