Seasonal affective disorder and investors’ response to earnings news

Mei-Chen Lin

International Review of Financial Analysis, 2015, vol. 42, issue C, 211-221

Abstract: We examined the relationship between seasonal affective disorder (SAD) and investor response to a firm’s quarterly earnings announcements. Our results show that the market’s cumulative abnormal returns are associated with unexpected earnings and with SAD. Investors respond more negatively when earnings are announced in the fall than in other seasons. We also found an asymmetric SAD effect that is more significant for positive earnings announcements, on average. Moreover, the SAD affect is most evident in stocks that are more salient to investors.

Keywords: Seasonable affective disorder; Earnings surprise; Post-earnings announcement drift (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521915001301
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:42:y:2015:i:c:p:211-221

DOI: 10.1016/j.irfa.2015.07.003

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().