Mood seasonality around the globe

Atılgan, Yiğit and Demirtaş, Özgür and Günaydın, A. Doruk and Kirli, Imra (2023) Mood seasonality around the globe. Pacific Basin Finance Journal, 82 . ISSN 0927-538X (Print) 1879-0585 (Online)

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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.
Item Type: Article
Uncontrolled Keywords: Behavioral finance; Equity return seasonality; International finance; Investor mood; Market efficiency; Mood beta
Divisions: Sabancı Business School
Depositing User: Yiğit Atılgan
Date Deposited: 03 Feb 2024 21:49
Last Modified: 03 Feb 2024 21:49

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