Mood Seasonality Around The Globe
41 Pages Posted: 24 Mar 2022 Last revised: 9 Oct 2023
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: Suggested Citation