Mood Beta and Seasonalities in Stock Returns

62 Pages Posted: 7 Dec 2016 Last revised: 21 Oct 2018

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: October 19, 2018

Abstract

Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. A model in which assets differ in their sensitivities to investor mood explains these effects and implies other seasonal patterns. We find that relative performance across individual stocks or stock portfolios during past high or low mood months and weekdays tends to recur/reverse in periods with congruent/noncongruent mood. Furthermore, assets 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, Market efficiency, Anomalies

JEL Classification: G02, G11, G12, G14

Suggested Citation

Hirshleifer, David A. and Jiang, Danling and Meng, Yuting, Mood Beta and Seasonalities in Stock Returns (October 19, 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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