NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Danling Jiang

College of Business
Stony Brook University
(State University of New York at Stony Brook)
345 Harriman Hall
Stony Brook, NY 11794-3775
danling.jiang@stonybrook.edu

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Stony Brook University

NBER Working Papers and Publications

June 2018Mood Betas and Seasonalities in Stock Returns
with David Hirshleifer, Yuting Meng: w24676
Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. A model in which assets differ in their sensitivities to investor mood explains these effects and implies other seasonal patterns. We find that relative performance across individual stocks or stock portfolios during past high or low mood months and weekdays tends to recur/reverse in periods with congruent/noncongruent mood. Furthermore, assets with higher sensitivities to aggregate mood—higher mood betas— subsequently earn higher/lower returns during high/low mood periods, including those induced by Daylight Saving Time changes, weather conditions and anticipation of major holidays.
 
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