“Sell in May and go away” — it’s one of the more popular sayings on Wall Street. But according to one study, doing so may cause investors to miss out on good opportunities.

In his MarketWatch column, Mark Hulbert discusses the study, which is entitled “The Halloween Effect in U.S. Sectors,” and was written by Ben Jacobsen and Nuttawat Visaltanachoti of New Zealand’s Massey University. Jacobsen and Visaltanachoti found that from 1926-2005, all sectors and industries performed better during winter than summer. “However, while all sectors and industries show this effect, there are large differences across sectors and industries,” they wrote. “The effect is almost absent in sectors related to consumer consumption but strong in production sectors.”

The study looks at some of the ways investors might exploit this phenomenon, and so does Hulbert, who notes that consumer and food stocks had the least pronounced summer/winter differences in returns. He digs into his Hulbert Financial Digest database to look at some of the stocks from those areas that are being recommended by advisors who have beaten the market over the past decade. Among the picks: Kimberly-Clark Corp. and PepsiCo.