Seasonality in stock returns and government bond returns

Mark J. Kamstra and Lisa Kramer

Chapter 2 in Handbook of Financial Decision Making, 2023, pp 36-62 from Edward Elgar Publishing

Abstract: We examine seasonality in stock and government bond returns arising from seasonal variation in daylight, investor mood, and investor risk aversion, known as the seasonal affective disorder (SAD) effect. We consider US Treasury returns and equity returns for the US, Canada, the UK, Germany, and Australia. New contributions include the following. For the first time, we consider the SAD effect across size-sorted stock return deciles, and we consider individual firm-level return data for the US and internationally. Additionally, we develop a new proxy to capture seasonality in investor risk aversion arising from seasonality in daylight, based on Google searches for “seasonal affective disorder” within each country. Using the new country-specific Google search proxy, we find evidence of a SAD effect in US government bond returns and international stock returns is at least as strong as it is when using a proxy based clinical timing of symptoms among SAD patients. In particular, international evidence for the SAD effect strengthens considerably using this new proxy. We also find the magnitude of the Monday and tax-loss effects in stock returns appear to be weakening over time, globally.

Keywords: Business and Management; Economics and Finance (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.elgaronline.com/doi/10.4337/9781802204179.00011 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 503 Service Temporarily Unavailable

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:elg:eechap:21126_2

Ordering information: This item can be ordered from
http://www.e-elgar.com

Access Statistics for this chapter

More chapters in Chapters from Edward Elgar Publishing
Bibliographic data for series maintained by Darrel McCalla ().