Abstract

https://ssrn.com/abstract=2880257
 


 



Mood Beta and Seasonalities in Stock Returns


David A. Hirshleifer


University of California, Irvine - Paul Merage School of Business

Danling Jiang


College of Business, SUNY at Stony Brook; Florida State University - The College of Business

Yuting Meng


University of South Florida - Department of Finance

January 12, 2017


Abstract:     
Existing research has documented cross-sectional seasonality of stock returns – the periodic outperformance of certain stocks relative to others during the same calendar month, weekday, or pre-holiday periods. A model based on the differential sensitivity of stocks to investor mood explains these effects and implies a new set of seasonal patterns. We find that relative performance across stocks during positive mood periods (e.g., January, Friday, the best-return month realized in the year, the best-return day realized in a week, pre-holiday) tends to persist in future periods with congruent mood (e.g., January, Friday, pre-holiday), and to reverse in periods with non-congruent mood (e.g., September/October, Monday, post-holiday). Stocks with higher mood betas estimated during seasonal windows of strong moods (e.g., January/September/October, Monday/Friday, pre-holidays) earn higher expected returns during future positive mood seasons but lower expected returns during future negative mood seasons, including those induced by Daylight Saving Time changes and weather conditions.

Number of Pages in PDF File: 52

Keywords: Return Seasonality, Investor Mood, Mood Beta, Market Efficiency, Anomalies

JEL Classification: G02, G11, G12, G14


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Date posted: December 7, 2016 ; Last revised: January 14, 2017

Suggested Citation

Hirshleifer, David A. and Jiang, Danling and Meng, Yuting, Mood Beta and Seasonalities in Stock Returns (January 12, 2017). Available at SSRN: https://ssrn.com/abstract=2880257

Contact Information

David A. Hirshleifer
University of California, Irvine - Paul Merage School of Business ( email )
Irvine, CA California 92697-3125
United States
Danling Jiang (Contact Author)
College of Business, SUNY at Stony Brook ( email )
306 Harriman Hall
Stony Brook, NY 11794
United States
HOME PAGE: http://sites.google.com/site/danlingjiang
Florida State University - The College of Business ( email )
821 Academic Way
P.O. Box 3061110
Tallahassee, FL 32306-1110
United States
Yuting Meng
University of South Florida - Department of Finance ( email )
Tampa, FL 33620-5500
United States
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