Mood Seasonality Around The Globe

41 Pages Posted: 24 Mar 2022 Last revised: 9 Oct 2023

See all articles by Yigit Atilgan

Yigit Atilgan

Sabanci University

K. Ozgur Demirtas

Sabanci University Graduate School of Management

A. Doruk Gunaydin

Sabanci University

Imra KIRLI

Sabanci University - School of Management

Date Written: January 30, 2022

Abstract

This paper examines the existence of mood seasonality, documented by Hirshleifer et al. (2020, JFE) for the cross-section of US equity returns, in an international setting. First, we confirm the results of the original study. Next, we extend these findings to non-US markets and show that they are not sample-specific. A stock’s relative historical seasonal returns are positively correlated with its relative future seasonal returns during similar or congruent mood periods and negatively related with its relative future seasonal returns during dissimilar or non-congruent mood periods. Moreover, both regression and portfolio analyses indicate that mood beta, the sensitivity of equity returns to aggregate investor mood, helps explain these mood seasonality effects.

Keywords: equity returns, return seasonality, investor mood, mood beta, market efficiency, anomalies, international finance

JEL Classification: G11, G12, G15

Suggested Citation

Atilgan, Yigit and Demirtas, K. Ozgur and Gunaydin, A. Doruk and KIRLI, Imra, Mood Seasonality Around The Globe (January 30, 2022). Pacific-Basin Finance Journal, Forthcoming, Available at SSRN: https://ssrn.com/abstract=4021479 or http://dx.doi.org/10.2139/ssrn.4021479

Yigit Atilgan (Contact Author)

Sabanci University ( email )

Orta Mahalle Üniversite Caddesi 27
Istanbul, Orhanli, 34956 Tuzla 34956
Turkey

K. Ozgur Demirtas

Sabanci University Graduate School of Management ( email )

Sabanci University, School of Management
Orhanli Tuzla
Orhanlı-Tuzla, Istanbul, 34956
Turkey
(+90) 216-483-9985 (Phone)
(+90) 216-483-9699 (Fax)

A. Doruk Gunaydin

Sabanci University ( email )

School of Management
Orhanli Tuzla
İstanbul, 34956
Turkey

Imra KIRLI

Sabanci University - School of Management ( email )

Istanbul
Turkey

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