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DAYLIGHT AND INVESTOR SENTIMENT: A SECOND LOOK AT TWO STOCK MARKET BEHAVIORAL ANOMALIES

Authors


  • The author would like to thank Mark J. Kamstra, Lisa A. Kramer, Maurice D. Levi, and the referee for their comments.

Abstract

Kamstra, Kramer, and Levi (2000, 2003) describe two stock market behavioral anomalies associated with changes in investor sentiment caused by daylight saving time (DST) changes and seasonal affective disorder (SAD). According to the hypothesized effects, DST changes and SAD affect asset prices by changing investors’ risk aversion. Although changes in the timing or amount of daylight are correlated with unusual stock market returns, I present evidence they do not cause those unusual returns. Instead, seasonal patterns in market-related information during the sample period are the likely cause of the correlation between stock market returns and DST changes or SAD.

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