本文探討萬聖節效應是否存在於美國產業報酬，實證結果顯示，在控制市場、規模、價值、獲利能力與投資因子後，萬聖節效應仍在部分美國生產相關與製造相關產業中維持顯著，表示該效應無法完全由標準資產定價因子解釋。景氣衰退模型的結果顯示，萬聖節效應在汽車、零售、航運與娛樂產業會被強化。在控制一月效應後，萬聖節效應仍於部分產業中維持顯著，顯示冬季報酬優勢並非單純由一月效應所驅動。整體而言，本文發現萬聖節效應並非一致存在於所有產業，而是具有產業差異的季節性現象。

This paper examines whether the Halloween effect exists in U.S. industry returns. The empirical results show that the Halloween effect remains significant in several production-related and manufacturing-related industries after controlling for market, size, value, profitability, and investment factors. This suggests that the effect cannot be fully explained by standard asset pricing factors. The recession analysis shows that the effect becomes stronger in automobiles, retail, shipping, and entertainment industries. The Halloween effect remains significant in several industries after controlling for the January effect, indicating that the winter return premium is not solely driven by the January effect. Overall, this paper finds that the Halloween effect does not exist uniformly across all industries, but rather represents an industry-specific seasonal pattern.

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