TAILIEUCHUNG - Are Investors Moonstruck? Lunar Phases and Stock Returns

Coinciding with the option explosion, a large academic literature has emerged (See Murphy, 1999, for a summary) that examines the way in which executive compensation, and stock options in particular, has affected the agency relationship. The evidence suggests that the low pay-to- performance relationship estimated by Jensen and Murphy (1991) has been dramatically strengthened by the stock option explosion since executives now generally have very large holdings of company stock and stock options in their portfolios (Hall and Liebman, 1998). Moreover, the resulting pay-to-performance relationship seems to be in accord with the most basic predictions of agency theory (Aggarwal and Samwick, 1999). In. | Are Investors Moonstruck Lunar Phases and Stock Returns Kathy Yuan kyuan@ Lu Zheng luzheng@ Qiaoqiao Zhu qqzhu@ First Draft August 2001 This Draft September 2002 Yuan and Zheng are at the University of Michigan Business School 701 Tappan Street Ann Arbor MI 48109. Zhu is at the University of Michigan Economics Department. We thank Wang Jing for research assistance. We are grateful to Keith Brown Campbell Harvey David Hirshleifer Han Kim Nancy Kotzian Emre Ozdenoren Scott Richardson and Tyler Shumway for helpful comments. We thank seminar participants at University of Michigan Business School Michigan State University University of Texas at Austin. All errors are our own. Are Investors Moonstruck Lunar Phases and Stock Returns Abstract Biological and psychological evidence suggests that lunar phases affect human behavior and mood. Do lunar phases affect investors trading behavior and thus stock market returns This paper investigates the relation between lunar phases and stock market returns in 48 countries. We find strong global evidence that stock returns are lower on days around a full moon than on days around a new moon. The magnitude of the return difference is percent per annum based on our 15-day window analysis of the global portfolio. The return difference is not due to changes in stock market volatility. Moreover the lunar effect is independent of other calendar-related anomalies such as the January effect the day-of-week effect the calendar month effect the holiday effect. We also find that the lunar effect is not due to the returns around lunar holidays. 2 It is the very error of the moon She comes more near the earth than she was wont. And makes men mad. Othello Act V Scene ii Introduction Moon phases regulate mood and behavior this belief dates back to ancient times. The lunar effect on human body and mind is supported anecdotally as well as empirically through psychological and biological research. Do moon phases affect .

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