TAILIEUCHUNG - Winter Blues: A SAD Stock Market Cycle

Against this background, we make several advances over the literature. We construct a new dataset that covers virtually the entire global stock market in capitalization terms and find—for this more comprehensive dataset—that industry effects have gone from less than half as important as country effects in the mid-1990s to almost twice as important in recent years. This shift is primarily driven by a dramatic rise in magnitude of industry effects, with country effects roughly stable since the mid-1990s. But what is the rise in global industry effects capturing? Is it a reflection of greater economic and financial integration across countries, in which case the rise in sector. | Winter Blues A SAD Stock Market Cycle Mark Kamstra Lisa Kramer and Maurice Levi Working Paper 2002-13 July 2002 Working Paper Series Federal Reserve Bank of Atlanta Working Paper 2002-13 July 2002 Winter Blues A SAD Stock Market Cycle Mark Kamstra Federal Reserve Bank of Atlanta Lisa Kramer University of Toronto Maurice Levi University of British Columbia Abstract This paper investigates the role of seasonal affective disorder SAD in the seasonal time-variation of stock market returns. SAD is an extensively documented medical condition whereby the shortness of the days in fall and winter leads to depression for many people. Experimental research in psychology and economics indicates that depression in turn causes heightened risk aversion. Building on these links between the length of day depression and risk aversion we provide international evidence that stock market returns vary seasonally with the length of the day a result we call the SAD effect. Using data from numerous stock exchanges and controlling for well-known market seasonals as well as other environmental factors stock returns are shown to be significantly related to the amount of daylight through the fall and winter. Patterns at different latitudes and in both hemispheres provide compelling evidence of a link between seasonal depression and seasonal variation in stock returns Higher latitude markets show more pronounced SAD effects and results in the Southern Hemisphere are six months out of phase as are the seasons. Overall the economic magnitude of the SAD effect is large. JEL classification G1 Key words stock returns seasonality behavioral finance seasonal affective disorder SAD depression The authors have benefited from the suggestions of Ben Bernanke Stanley Coren Rick Green Steven Jones Andrew Karolyi George Kramer Tim Loughran Raj Mehra Jacob Sagi Bob Shiller Dick Thaler participants at the meetings of the American Finance Association the Canadian Econometrics Study Group the Canadian Economics

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• Availability Acquisition
• Site and Regional Scale
• Model Evaluation
• Current and Future
• Regional Carbon
• Outcome From Existing
• Soil phosphorus
• Phosphate solubilizing microbes
• Organic acid
• Inorganic acid
• Acquisition by plants
• Indo Gangetic Plains
• India Case Study
• Discussion and Conclusions
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