Yet another careful re-examination of the SAD hypothesis

Mohammed Khaled () and Stephen Keef

International Journal of Managerial Finance, 2014, vol. 10, issue 3, 404-415

Abstract: Purpose - – The focus is on the seasonal affective disorder SAD hypothesis of Kamstra, Kramer and Levi (KKL). Examines the arguments advanced by KKL (2012) in their reply to the criticisms of the hypothesis raised by Kelly and Meschke (2010). Design/methodology/approach - – Uses a mixture of research synthesis and standard statistical analysis to investigate the reliability of the claims raised and the veracity of the statistical arguments. Findings - – The synthesis of the literature, and of the empirical models employed therein, raises questions about the validity of the SAD hypothesis. Originality/value - – Offers a rigorous analysis of whether there is a sound statistical basis for the SAD hypothesis which is frequently cited in the literature as support for the importance of behavioural finance.

Keywords: International stock returns; Seasonality; SAD; Seasonal affective disorder (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
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:eme:ijmfpp:v:10:y:2014:i:3:p:404-415

DOI: 10.1108/IJMF-07-2012-0079

Access Statistics for this article

International Journal of Managerial Finance is currently edited by Dr Alfred Yawson

More articles in International Journal of Managerial Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().