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Lunar Cycle Effects in Stock Returns

Ilia D. Dichev

Emory University - Goizueta Business School

Troy D. Janes

Purdue University; Rutgers School of Business-Camden

August 2001

We find strong lunar cycle effects in stock returns. Specifically, returns in the 15 days around new moon dates are about double the returns in the 15 days around full moon dates. This pattern of returns is pervasive; we find it for all major U.S. stock indexes over the last 100 years and for nearly all major stock indexes of 24 other countries over the last 30 years. In contrast, we find no reliable or economically important evidence of lunar cycle effects in return volatility and volume of trading. Taken as a whole, this evidence is consistent with popular beliefs that lunar cycles affect human behavior.

Number of Pages in PDF File: 48

Keywords: Lunar cycle, stock returns, investor behavior

JEL Classification: G12, G14

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Date posted: September 4, 2001  

Suggested Citation

Dichev, Ilia D. and Janes, Troy D., Lunar Cycle Effects in Stock Returns (August 2001). Available at SSRN: http://ssrn.com/abstract=281665 or http://dx.doi.org/10.2139/ssrn.281665

Contact Information

Ilia D. Dichev (Contact Author)
Emory University - Goizueta Business School ( email )
1300 Clifton Road
Atlanta, GA 30322-2722
United States
Troy D. Janes
Purdue University ( email )
West Lafayette, IN 47907-1310
United States
765-494-4456 (Phone)
Rutgers School of Business-Camden ( email )
227 Penn Street
Camden, NJ 08102
United States
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