Is it the Weather? Response

17 Pages Posted: 27 Jan 2009 Last revised: 21 Feb 2009

See all articles by Ben Jacobsen

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; Massey University

Wessel Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management

Date Written: January 26, 2009


Kamstra, Kramer and Levi (KKL) in their comment seem to miss the main point of our paper. Many things are correlated with the seasons so it is difficult to distinguish between them when we try to explain the well-known summer winter pattern in stock returns. Finding an isolated Seasonal Affective Disorder (SAD) effect without proper control variables does not disprove our point but strengthens it. To sidestep all of the issues they raise and take our point to the extreme, we show using plain vanilla regressions that the seasonal stock market pattern they attribute to SAD can also be "explained" by variables like ice cream consumption or airline travel. The new variations of SAD variables ("onset" and "incidence") KKL propose in their recent work for North America are even more problematic than the original SAD variables. We find that these new SAD proxies are not significant in countries where according to KKL they should be: Canada and the United States.

Keywords: Stock market seasonality, Sell in May, Seasonal affective disorder

JEL Classification: G10, G12

Suggested Citation

Jacobsen, Ben and Marquering, Wessel A., Is it the Weather? Response (January 26, 2009). Available at SSRN:

Ben Jacobsen (Contact Author)

Tilburg University - TIAS School for Business and Society ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB

Massey University ( email )

New Zealand

Wessel A. Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management ( email )

P.O. Box 1738
Rotterdam 3000 DR
+31 10 408 2786 (Phone)
+31 10 408 9017 (Fax)

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