Testing the mood seasonality hypothesis: Evidence from down under
- Title
- Testing the mood seasonality hypothesis: Evidence from down under
- Author
- 민병규
- Keywords
- Return seasonality; Investor mood; Anomalies; Return predictability
- Issue Date
- 2020-12
- Publisher
- ELSEVIER
- Citation
- PACIFIC-BASIN FINANCE JOURNAL, v. 64, article no. 101440, page. 1-10
- Abstract
- We examine whether seasonal variations in investor mood are associated with return seasonalities in U.S. and Australian equity markets. We first replicate the main results of Hirshleifer et al. (2020) for the U.S. market that stock returns' relative performance during past high or low mood periods tends to recur in periods with congruent mood but reverse in periods with noncongruent mood. We next test the mood seasonality hypothesis in Australia (Southern hemisphere), where the calendar timing of seasons is opposite to that experienced in the United States (Northern hemisphere). This enables us to identify whether the seasonally varying investor mood effect on returns is independent of the actual calendar month. In the Australian market we also find the congruent-mood recurrence and noncongruent-mood reversal effects under our hypothesized high and low mood months, and this effect is particularly strong for the full cross-section of individual assets.
- URI
- https://www.sciencedirect.com/science/article/pii/S0927538X20305795?via%3Dihubhttps://repository.hanyang.ac.kr/handle/20.500.11754/173808
- ISSN
- 0927-538X; 1879-0585
- DOI
- 10.1016/j.pacfin.2020.101440
- Appears in Collections:
- COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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