Mood beta and seasonalities in stock returns

• 成果类型: Article
• 署名作者: Hirshleifer, David; Jiang, Danling; DiGiovanni, Yuting Meng
• 署名单位: University of California System; University of California Irvine; National Bureau of Economic Research; State University of New York (SUNY) System; Stony Brook University; Southwest Jiaotong University; State University System of Florida; University of South Florida
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.02.003
• 发表日期: 2020
• 页码: 272-295
• 关键词: Return seasonality; Investor mood; Mood beta; market efficiency; anomalies

摘要

Existing research has found cross-sectional seasonality of stock returns-the periodic out-performance of certain stocks during the same calendar months or weekdays. We hypothesize that assets' different sensitivities to investor mood explain these effects and imply other seasonalities. Consistent with our hypotheses, relative performance across individual stocks or portfolios during past high or low mood months and weekdays tends to recur in periods with congruent mood and reverse in periods with noncongruent mood. Furthermore, assets with higher sensitivities to aggregate mood-higher mood betas-subsequently earn higher returns during ascending mood periods and earn lower returns during descending mood periods. Published by Elsevier B.V.