The seesaw changes of stock markets are frequently explained with certain sayings. These rules are like country sayings: They are correct — once in a while. The probably most well-known stock market rule reads: Sell in May and go away. For example, by googling “sell in May” one finds more than 160 000 entries on the Internet. The “sell in May” rule is based on the observation that stock prices apparently tend to decrease during the summer months. This is one of the so-called calendar effects connected to numerous capital market anomalies. A capital market anomaly contradicts the hypothesis of a weak-form efficient capital market.