dc.contributor.author | Meschke, Felix | |
dc.contributor.author | Kelly, Patrick J. | |
dc.date.accessioned | 2012-02-27T17:42:20Z | |
dc.date.available | 2012-02-27T17:42:20Z | |
dc.date.issued | 2010-06 | |
dc.identifier.citation | Patrick J. Kelly, Felix Meschke, Sentiment and stock returns: The SAD anomaly revisited, Journal of Banking & Finance, Volume 34, Issue 6, June 2010, Pages 1308-1326, ISSN 0378-4266, 10.1016/j.jbankfin.2009.11.027. http://dx.doi.org/10.1016/j.jbankfin.2009.11.027 | |
dc.identifier.issn | 0378-4266 | |
dc.identifier.uri | http://hdl.handle.net/1808/8770 | |
dc.description | NOTICE: This is the author’s version of a work that was accepted for publication in Journal of Banking & Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking & Finance, Vol. 34, Issue 6, June 2010. DOI:10.1016/j.jbankfin.2009.11.027 | |
dc.description.abstract | Widely-cited research by Kamstra et al. (2003) argues that changes in mood resulting from Seasonal Affective Disorder (SAD) drive changes in investor risk aversion and cause seasonal patterns in aggregate stock returns around the world. In this paper we reexamine the so-called SAD effect by replicating and extending Kamstra et al. (2003). We study the psychological underpinnings of the SAD hypothesis and show that the time-series predictions of the SAD model do not correspond to the seasonal patterns in depression found in the general population. We also investigate the cross-sectional prediction that SAD has a greater effect on stock markets in countries where SAD is more prevalent and find no relation between the prevalence of SAD and stock returns. Finally, we document that the SAD effect is mechanically driven by an overlapping dummy-variable specification and higher returns around the turn of the year. | |
dc.language.iso | en_US | |
dc.publisher | Elsevier | |
dc.relation.hasversion | http://ssrn.com/abstract=571144 | |
dc.subject | Asset pricing | |
dc.subject | Market efficiency | |
dc.subject | Behavioral finance | |
dc.subject | depression | |
dc.subject | Seasonality | |
dc.subject | Predictability | |
dc.subject | Investor behavior | |
dc.subject | Seasonal Affective Disorder | |
dc.subject | SAD | |
dc.title | Sentiment and Stock Returns: The SAD Anomaly Revisited | |
dc.type | Article | |
kusw.kuauthor | Meschke, Felix | |
kusw.kudepartment | Business | |
kusw.oastatus | fullparticipation | |
dc.identifier.doi | 10.1016/j.jbankfin.2009.11.027 | |
dc.subject.uri | http://id.worldcat.org/fast/890931 | |
dc.subject.uri | http://id.worldcat.org/fast/1110429 | |
dc.subject.fast | Depression, Mental | |
dc.subject.fast | Seasonal affective disorder | |
kusw.oaversion | Scholarly/refereed, author accepted manuscript | |
kusw.oapolicy | This item meets KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess | |