Seasonality in Perceived Risk: A Sentiment Effect

Guy Kaplanski and Haim Levy
Additional contact information
Haim Levy: The Hebrew University of Jerusalem, Jerusalem 91905, Israel

Quarterly Journal of Finance (QJF), 2017, vol. 07, issue 01, 1-21

Abstract: Studies which attribute markets’ seasonality to sentiment assume that seasonal affective disorder (SAD) creates seasonal fluctuations in risk-aversion which, in turn, affects prices. Employing the variance risk premium (VP), we directly test for seasonality in risk-aversion. We find significant seasonality in the VP which is not explained by exogenous events, market-realized variance and returns and major macroeconomic variables. We use the number of people who actively suffer from SAD to show that consistent with the SAD hypothesis VP and SAD are significantly positively correlated. International comparison reveals significant positive association between the magnitude of seasonally and the prevalence of SAD.

Keywords: Volatility risk premium; seasonality in risk-aversion; investor sentiment; market efficiency (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2010139216500154
Access to full text is restricted to subscribers

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:wsi:qjfxxx:v:07:y:2017:i:01:n:s2010139216500154

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2010139216500154

Access Statistics for this article

Quarterly Journal of Finance (QJF) is currently edited by Fernando Zapatero

More articles in Quarterly Journal of Finance (QJF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().