The seasonality of lottery-like stock returns

John Gould, Joey W. Yang, Ranjodh Singh and Ben Yeo

International Review of Economics & Finance, 2023, vol. 83, issue C, 383-400

Abstract: Using daily stock returns over 38 years, we extend the mood seasonality hypothesis to examine whether seasonal anomalies are more pronounced in stocks with lottery-like features preferred by individual investors. We find that the strength of various stock return seasonality patterns is significantly associated with stocks’ lottery-likeness. The seasonality patterns of positive January and pre-holiday performance, and negative Monday performance are all enhanced the more lottery-like a stock is. Additional analysis for different prosperity periods indicates support for Prospect Theory. Overall, our results are consistent with investor mood seasonality (and consequential risk-tolerance) being expressed via speculative investments.

Keywords: Seasonality pattern; Abnormal returns; Lottery-like stocks; Mood (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:83:y:2023:i:c:p:383-400

DOI: 10.1016/j.iref.2022.09.004

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