Mood Betas and Seasonalities in Stock Returns

62 Pages Posted: 13 Jun 2018 Last revised: 4 Dec 2020

See all articles by David A. Hirshleifer

David A. Hirshleifer

University of California, Irvine - Paul Merage School of Business; National Bureau of Economic Research (NBER)

Danling Jiang

College of Business, Stony Brook University

Yuting Meng

University of South Florida - Department of Finance

Date Written: June 2018

Abstract

Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. A model in which assets differ in their sensitivities to investor mood explains these effects and implies other seasonal patterns. We find that relative performance across individual stocks or stock portfolios during past high or low mood months and weekdays tends to recur/reverse in periods with congruent/noncongruent mood. Furthermore, assets with higher sensitivities to aggregate mood—higher mood betas— subsequently earn higher/lower returns during high/low mood periods, including those induced by Daylight Saving Time changes, weather conditions and anticipation of major holidays.

Suggested Citation

Hirshleifer, David A. and Jiang, Danling and DiGiovanni, Yuting, Mood Betas and Seasonalities in Stock Returns (June 2018). NBER Working Paper No. w24676, Available at SSRN: https://ssrn.com/abstract=3194831

David A. Hirshleifer (Contact Author)

University of California, Irvine - Paul Merage School of Business ( email )

Paul Merage School of Business
Irvine, CA California 92697-3125
United States

HOME PAGE: http://sites.uci.edu/dhirshle/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Danling Jiang

College of Business, Stony Brook University ( email )

306 Harriman Hall
Stony Brook, NY 11794
United States

HOME PAGE: http://sites.google.com/site/danlingjiang

Yuting DiGiovanni

University of South Florida - Department of Finance ( email )

Tampa, FL 33620-5500
United States

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