Mood Beta and Seasonalities in Stock Returns

63 Pages Posted: 7 Dec 2016 Last revised: 25 Aug 2019

See all articles by David A. Hirshleifer

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: August 14, 2019

Abstract

Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. We hypothesize that assets’ different sensitivities to investor mood explain these effects and imply other seasonalities. Consistent with our hypotheses, relative performance across individual stocks or stock portfolios during past high or low mood months and weekdays tends to recur in periods with congruent mood and reverse in periods with noncongruent mood. Furthermore, assets with higher sensitivities to aggregate mood—higher mood betas—subsequently earn higher returns during ascending mood periods and lower returns during descending mood periods.

Keywords: Return seasonality, Investor mood, Mood beta, Market efficiency, Anomalies

JEL Classification: G02, G11, G12, G14

Suggested Citation

Hirshleifer, David A. and Jiang, Danling and DiGiovanni, Yuting, Mood Beta and Seasonalities in Stock Returns (August 14, 2019). Journal of Financial Economics (JFE), Forthcoming. 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 DiGiovanni

University of South Florida - Department of Finance ( email )

Tampa, FL 33620-5500
United States

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