Is it the Weather? Comment
Posted: 19 Dec 2008 Last revised: 26 Jan 2009
Date Written: September 11, 2008
This comment discusses some errors in a recent paper by Jacobsen and Marquering [Jacobsen, B., Marquering, W., 2008. Is it the weather? Journal of Banking and Finance 32 (4), 526-540], in which the authors challenge our previous finding that stock market returns exhibit seasonal patterns consistent with the influence of seasonal affective disorder on investor risk aversion. We find that we cannot replicate the authors' findings, even after corresponding with them. Furthermore, we document several problems with their methodology, including misspecification of their economic model, misspecification of their econometric model, and use of inappropriate data. While we agree that seasonal affective disorder is not an explanation for all variation in equity markets, we do maintain that careful analysis leads to economically and statistically significant evidence of the effect we originally documented.
Keywords: Seasonal affective disorder, SAD, Sell in May, Stock market cycles, Return seasonality
JEL Classification: G10, G11, G12
Suggested Citation: Suggested Citation