Mood beta and seasonalities in stock returns

David Hirshleifer, Danling Jiang and Yuting Meng DiGiovanni

Journal of Financial Economics, 2020, vol. 137, issue 1, 272-295

Abstract: Existing research has found cross-sectional seasonality of stock returns—the periodic outperformance 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.

Keywords: Return seasonality; Investor mood; Mood beta; Market efficiency; Anomalies (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G41 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (40)

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Related works:
Working Paper: Mood Betas and Seasonalities in Stock Returns (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:137:y:2020:i:1:p:272-295

DOI: 10.1016/j.jfineco.2020.02.003

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