Investor SAD Sentiment and Stock Returns in Taiwan

Ching-Ping Wang, Hung-Hsi Huang and Yong-Wei Chen

Emerging Markets Finance and Trade, 2012, vol. 48, issue 0, 40-57

Abstract: Previous studies have demonstrated that investor sentiment affects trading behavior and stock returns, and is correlated with seasons and weather. In addition, a great deal of evidence supports the main systematic factors of the Fama-French (FF) three-factor model. This study presents both the seasonal affective disorder (SAD) model and the SAD-FF model to examine the influence of season and weather on Taiwan stock returns from 1991 to 2010. To determine whether SAD variables affect stock returns, the SAD and SAD-FF models include the additional, explanatory variable of the business cycle factor.

Keywords: business cycle; Fama-French three-factor model; investor sentiment; seasonal affective disorder (SAD) (search for similar items in EconPapers)
Date: 2012
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