Are Investors Moonstruck? - Lunar Phases and Stock Returns
University of California, Irvine - Paul Merage School of Business
London School of Economics - Department of Finance
Australian National University (ANU) - College of Business and Economics; Financial Research Network (FIRN)
September 5, 2001
This paper investigates the relation between lunar phases and stock market returns of 48 countries. The findings indicate that stock returns are lower on the days around a full moon than on the days around a new moon. The magnitude of the return difference is 3% to 5% per annum based on analyses of two global portfolios: one equal-weighted and the other value-weighted. The return difference is not due to changes in stock market volatility or trading volumes. The data show that the lunar effect is not explained away by announcements of macroeconomic indicators, nor is it driven by major global shocks. Moreover, the lunar effect is independent of other calendar-related anomalies such as the January effect, the day-of-week effect, the calendar month effect, and the holiday effect (including lunar holidays).
Number of Pages in PDF File: 44
Keywords: Behavioral Finance, Mood, Lunar Effect, Stock Return, Market Efficiency
Date posted: September 18, 2001
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