Mark Twain Effect

In finance, the Mark Twain effect is the phenomenon, observed in some markets, of stock returns in October being generally lower than in other months. The name comes from the following quote of Mark Twain:
October. This is one of the peculiarly dangerous months to speculate in stocks. The others are July, January, September, April, November, May, March, June, December, August, and February.
Evidence in support of this effect was provided by Cadsby (1989) based on data on Canadian stock market.

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