Seasonality in Perceived Risk: A Sentiment Effect

Quarterly Journal of Finance, 2017, 7(1), 1650015:1-21.

24 Pages Posted: 8 Apr 2008 Last revised: 5 Feb 2018

See all articles by Guy Kaplanski

Guy Kaplanski

Bar-Ilan University - Graduate School of Business Administration

Haim Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration; Fordham University

Date Written: April 1, 2017

Abstract

Studies which attribute markets’ seasonality to sentiment assume that seasonal affective disorder (SAD) creates seasonal fluctuations in risk-aversion which, in turn, affects prices. Employing the variance risk premium (VP), we directly test for seasonality in risk-aversion. We find significant seasonality in the VP which is not explained by exogenous events, market-realized variance and returns and major macroeconomic variables. We use the number of people who actively suffer from SAD to show that consistent with the SAD hypothesis VP and SAD are significantly positively correlated. International comparison reveals significant positive association between the magnitude of seasonally and the prevalence of SAD.

Keywords: volatility risk premium, market seasonality effects, perceived risk, investor sentiment, market efficiency

JEL Classification: A12, G1, G10, G12, G14

Suggested Citation

Kaplanski, Guy and Levy, Haim, Seasonality in Perceived Risk: A Sentiment Effect (April 1, 2017). Quarterly Journal of Finance, 2017, 7(1), 1650015:1-21.. Available at SSRN: https://ssrn.com/abstract=1116180 or http://dx.doi.org/10.2139/ssrn.1116180

Guy Kaplanski (Contact Author)

Bar-Ilan University - Graduate School of Business Administration ( email )

Ramat Gan
Israel

Haim Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )

Mount Scopus
Jerusalem, 91905
Israel

HOME PAGE: http://pluto.huji.ac.il/~mshlevy/

Fordham University ( email )

140 West 62nd Street
New York, NY 10023
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
555
rank
46,276
Abstract Views
3,116
PlumX Metrics