Mood Beta and Seasonalities in Stock Returns

60 Pages Posted: 7 Dec 2016 Last revised: 26 Mar 2018

David A. Hirshleifer

University of California, Irvine - Paul Merage School of Business; NBER

Danling Jiang

College of Business, Stony Brook University

Yuting Meng

University of South Florida - Department of Finance

Date Written: March 20, 2018

Abstract

Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during calendar month, weekday, or pre-holiday periods. A model in which stocks differ in their sensitivities to investor mood explains these effects and implies other seasonal patterns. We find that relative performance across stocks during past high or low mood months and weekdays tends to recur/reverse in periods with congruent/non-congruent mood. Furthermore, stocks with higher sensitivities to aggregate mood—higher mood betas—subsequently earn higher/lower returns during high/low mood periods, including those induced by Daylight Saving Time changes, weather conditions and anticipation of major holidays.

Keywords: Return Seasonality, Investor Mood, Mood Beta, Weather, Daylight Saving Time, Preholiday

JEL Classification: G02, G11, G12, G14

Suggested Citation

Hirshleifer, David A. and Jiang, Danling and Meng, Yuting, Mood Beta and Seasonalities in Stock Returns (March 20, 2018). Available at SSRN: https://ssrn.com/abstract=2880257 or http://dx.doi.org/10.2139/ssrn.2880257

David A. Hirshleifer

University of California, Irvine - Paul Merage School of Business ( email )

Irvine, CA California 92697-3125
United States

HOME PAGE: http://sites.uci.edu/dhirshle/

NBER ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Danling Jiang (Contact Author)

College of Business, Stony Brook University ( email )

306 Harriman Hall
Stony Brook, NY 11794
United States

HOME PAGE: http://sites.google.com/site/danlingjiang

Yuting Meng

University of South Florida - Department of Finance ( email )

Tampa, FL 33620-5500
United States

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