In this paper, I provide new statistical evidence on the well-known November effect using data from the U.S. Exchange Traded Funds (hereafter ETFs) market. According to my results, the November effect applies to ETFs' performance, volatility and tracking efficiency. Moreover, the November effect concerns all the types of ETFs in terms of capitalization (large, medium and small cap ETFs). In addition, the November effect is valid no matter what the underlying market index is, namely, domestic broad market index, domestic sector index or international indexes. Further research indicates that investing strategies following the November patterns in ETFs' performance can beat the buy-and-hold strategies at the average and accumulated level during a five-year period. Based on this element, investors can gain significant returns if they allow themselves to be exposed to greater volatility.
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