Trading in Twilight: Sleep, Mental Alertness, and Stock Market Trading

Hee Seo Han, David Hirshleifer, Jinfei Sheng and Zheng Sun

No 33477, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We test whether mental alertness, as proxied by sleep disruption, impairs investor trading performance. Using four complementary approaches, we document that retail investors who experience a later sunset time on average earn lower abnormal returns on their trades. These approaches include panel regression with household fixed effects, RDD based on time zone borders, comparison of different seasons and latitudes, and daylight saving changes. Further tests suggest that the sleep disruption effect derives from impaired investor attention.

JEL-codes: D03 D91 G11 G12 G4 G40 G41 G5 G50 (search for similar items in EconPapers)
Date: 2025-02
Note: AP
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