The Impact of Seasonal Affective Disorder on Financial Analysts and Equity Market Returns

Posted: 5 Jan 2009 Last revised: 14 Oct 2017

See all articles by Kin Lo

Kin Lo

University of British Columbia (UBC) - Sauder School of Business

Serena Shuo Wu

University of British Columbia (UBC) - Sauder School of Business

Date Written: March 19, 2010

Abstract

We examine three related issues on the impact of seasonal affective disorder (SAD) on financial markets. First, we hypothesize and find that analysts are more pessimistic in the fall season, as indicated by their earnings forecasts and forecast revisions. Second, we show that equity returns fail to anticipate the downward impact of SAD on forecast revisions. Finally, we find that firms with analyst revisions in the fall experience less negative abnormal returns during the fall, compared with those without analyst revisions. Overall, the evidence suggests that both analysts and equity investors are affected by SAD, but forecasts by analysts helps to mitigate the depressing effects of SAD.

Keywords: Seasonal Affective Disorder, analyst forecasts, market efficiency

JEL Classification: G11, G12, G14, G29, M41

Suggested Citation

Lo, Kin and Wu, Serena Shuo, The Impact of Seasonal Affective Disorder on Financial Analysts and Equity Market Returns (March 19, 2010). Available at SSRN: https://ssrn.com/abstract=1321808 or http://dx.doi.org/10.2139/ssrn.1321808

Kin Lo (Contact Author)

University of British Columbia (UBC) - Sauder School of Business ( email )

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Serena Shuo Wu

University of British Columbia (UBC) - Sauder School of Business ( email )

2053 Main Mall
Vancouver, BC V6T 1Z2
Canada

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