 Testing the mood seasonality hypothesis: Evidence from down underDeok-Hyeon Lee, Byoung-Kyu Min and Yuchao Xiao Pacific-Basin Finance Journal, 2020, vol. 64, issue C Abstract: We examine whether seasonal variations in investor mood are associated with return seasonalities in U.S. and Australian equity markets. We first replicate the main results of Hirshleifer et al. (2020) for the U.S. market that stock returns' relative performance during past high or low mood periods tends to recur in periods with congruent mood but reverse in periods with noncongruent mood. We next test the mood seasonality hypothesis in Australia (Southern hemisphere), where the calendar timing of seasons is opposite to that experienced in the United States (Northern hemisphere). This enables us to identify whether the seasonally varying investor mood effect on returns is independent of the actual calendar month. In the Australian market we also find the congruent-mood recurrence and noncongruent-mood reversal effects under our hypothesized high and low mood months, and this effect is particularly strong for the full cross-section of individual assets. Keywords: Return seasonality; Investor mood; Anomalies; Return predictability (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20305795 DOI: 10.1016/j.pacfin.2020.101440 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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