Seasonality in Equilibrium Stock Returns: A Dynamic Perspective on Sad
34 Pages Posted: 24 Jul 2004
Date Written: July 2004
Abstract
Recent research has investigated the role of depression induced by seasonal affective disorder, SAD, for stock market returns. This paper extends this enquiry by developing the implications of SAD in a continuous-time equilibrium-return framework with time-varying risk aversion. This approach identifies three ways by which SAD can affect returns. Quarterly and daily returns data on CRSP overall market returns, and on different size and risk portfolios, strongly support the implications of SAD in this dynamic equilibrium setting. For example, stock market returns decrease monotonically from quarter 1 to quarter 4, with the decrease larger for smaller/riskier firms.
Keywords: Seasonality, Asset Pricing, Behavioral Finance, Daylight Stock Return Cycle
JEL Classification: G00
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Winter Blues: A Sad Stock Market Cycle
By Mark J. Kamstra, Lisa A. Kramer, ...
-
The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle
By Ben Jacobsen and Sven Bouman
-
Losing Sleep at the Market: The Daylight-Savings Anomaly
By Mark J. Kamstra, Lisa A. Kramer, ...
-
Are Investors Moonstruck? - Lunar Phases and Stock Returns
By Lu Zheng, Kathy Yuan, ...
-
Lunar Cycle Effects in Stock Returns
By Ilia D. Dichev and Troy D. Janes
-
Rain or Shine: Where is the Weather Effect?
By Ning Zhu and William N. Goetzmann
-
Rain or Shine: Where is the Weather Effect?
By Ning Zhu and William N. Goetzmann
-
By Ben Jacobsen and Wessel Marquering