Thanks for this comprehensive review of this extraordinarily persistent market imperfection. Why does it exist? In the City of London it is formulated as "Sell in May and go away, Buy back in St Leger Day," referring to the horse race run at Doncaster in October. Historically the moneyed class would leave London to summer at their country estates, presumably putting aside financial matters until the autumn. The agricultural credit cycle might also have played a role: fully borrowed for planting in the spring, then on tenterhooks waiting for the harvest to come in and loans to be repaid. That would be true in other northern latitudes as well, including the US. And the rest of the world followed the activity in the two major capital markets of New York and London. But why has the effect persisted into the post industrial world? Does behavioral economics have something to teach us here?