آیا سرمایه گذاران دیوانه اند؟ فازهای قمری و بازده سهام
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|16483||2006||23 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Empirical Finance, Volume 13, Issue 1, January 2006, Pages 1–23
This paper investigates the relation between lunar phases and stock market returns of 48 countries. The findings indicate that stock returns are lower on the days around a full moon than on the days around a new moon. The magnitude of the return difference is 3% to 5% per annum based on analyses of two global portfolios: one equal-weighted and the other value-weighted. The return difference is not due to changes in stock market volatility or trading volumes. The data show that the lunar effect is not explained away by announcements of macroeconomic indicators, nor is it driven by major global shocks. 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, and the holiday effect (including lunar holidays).
The belief that phases of the moon affect mood and behavior dates back to ancient times. The lunar effect on the human body and mind is suggested anecdotally as well as empirically in the psychological and biological literature. Do lunar phases also affect the securities markets? If investors make decisions strictly through rational maximization, then the answer is no. However, research evidence suggests that investors are subject to various psychological and behavioral biases when making investment decisions, such as loss-aversion, overconfidence, and mood fluctuation (e.g., Harlow and Brown, 1990, Odean, 1998 and Odean, 1999). On a general level, numerous psychological studies suggest that mood can affect human judgment and behavior (e.g., Schwarz and Bless, 1991; Frijda, 1998). The behavioral finance literature documents evidence on the effects of mood on asset prices (e.g., Avery and Chevalier, 1999, Kamstra et al., 2000, Kamstra et al., 2003, Hirshleifer and Shumway, 2003 and Coval and Shumway, 2005). If lunar phases affect mood, by extension, these phases may affect investor behavior and thus asset prices. If so, asset returns during full moon phases may be different from those during new moon phases. More specifically, since psychological studies associate full moon phases with depressed mood, this study hypothesizes that stocks are valued less and thus returns are lower during full moon periods. This study is motivated by a psychological hypothesis. In modern societies the lunar cycle has little tangible impact on people's economic and social activities. Consequently, it would be difficult to find rational explanations for any correlation between lunar phases and stock returns. The causality would be obvious if there is such an effect. Therefore, investigating the lunar effect on stock returns is a strong test of whether investor behavior affects asset prices. Nevertheless, it is also important to recognize the possibility that the relation between lunar phases and stock returns could be spurious. As many researchers study the patterns of historical stock returns, some will find significant results simply due to chance.1 To investigate the relation between lunar phases and stock returns, we first examine the association of lunar phases with the returns of an equal-weighted and a value-weighted global portfolio of 48 country stock indices. The findings indicate that global stock returns are significantly lower during full moon periods than new moon periods. For the equal-weighted global portfolio, the cumulative return difference between the new moon periods and the full moon periods is 40.26 bps per lunar cycle for the 15-day window specification and 27.48 bps per lunar cycle for the 7-day window specification; both are significant at the 5% level. For the value-weighted global portfolio, the corresponding return difference is 30.44 bps for the 15-day window specification and 25.87 bps for the 7-day window specification, which are significant at the 10% and the 5% levels respectively. These numbers translate into annual return differences of 3% to 5%. The differences in the average daily logarithmic returns between the new and the full moon periods are consistent with the above findings. A sinusoidal model is also estimated to test for the cyclical pattern of the lunar effect. According to this model, the lunar effect reaches its peak at the time of full moon and declines to a trough at the time of new moon, following a cosine curve with a period of 29.53 days (the mean length of a lunar cycle). The results indicate a significant cyclical lunar pattern in stock returns. To fully utilize the panel data, a pooled regression was estimated with panel-corrected standard errors (PCSE) for all 48 countries and for the following subgroups of countries: the G-7 countries, the other developed countries, and the emerging-market countries. The PCSE specification adjusts for the contemporaneous correlation and heteroscedasticity among country index returns, as well as for the autocorrelation within each country's stock index returns. When all countries are included in the analysis, a statistically significant relation is found between moon phases and stock returns for both the 15-day and 7-day window specifications. Stock returns are, on average, 4 bps lower daily (about 5% annually) for the 15 days around the full moon than for the 15 days around the new moon. Using a 7-day window, stock returns are, on average, 6 bps lower daily (about 4% annually) on the full moon days than on the new moon days. The estimated effect remains similar when country group fixed effects are included. When country fixed effects are included, the estimated lunar effect becomes stronger. Another interesting observation is that the magnitude of this lunar effect is larger in the emerging market countries than in the developed countries. To study the relation between the lunar effect and investor sentiment, we examine whether the lunar effect on stock returns is related to stock size, and thus individual versus institutional decision-making, since institutional ownership is higher for large cap stocks. Indeed, for U.S. stocks, we find evidence that the lunar effect is more pronounced for NASDAQ and small cap stocks than for NYSE-AMEX and large cap stocks.2 Thus, the evidence suggests that the lunar effect is stronger for stocks that are held mostly by individuals. This finding is consistent with the notion that lunar phases affect individual moods, which in turn affect investment behavior. To better understand the relation between lunar phases and stock markets, we investigate whether lunar phases relate to stock trading volumes and return volatility. No evidence is found that the lunar effect observed in stock returns is associated with trading volumes or risk differentials during the full moon and the new moon periods. We then examine whether the lunar effect can be explained by macroeconomic events and other documented calendar anomalies. The findings indicate that the lunar effect is not due to the average effect of macroeconomic announcements or the changes in the short-term interest rates. Nor can the lunar effect be fully explained by global shocks. The lunar effect remains similar after we control for other calendar-related anomalies, such as the January effect, the day-of-week effect, the calendar month effect, and the holiday effects (including lunar holidays). Thus, we conclude that the lunar effect is unlikely a manifestation of these calendar anomalies. We further check the robustness of the lunar effect using various lunar window lengths, alternative ARIMA specifications, and a test of random 30-day cycles. The remainder of the paper is organized as follows. Section 2 discusses the literature on how lunar phases affect human mood and behavior. Section 3 describes the data. Section 4 discusses the methodology and results. Section 5 concludes.
نتیجه گیری انگلیسی
This paper investigates the relation between lunar phases and stock returns for a sample of 48 countries. Strong global evidence indicates that stock returns are lower on days around a full moon than on days around a new moon. The return differences are statistically and economically significant during the sample period. Since lunar phases are likely to be related to investor mood and are not related to economic activities, the findings are thus not consistent with the predictions of traditional asset pricing theories that assume fully rational investors. The positive association identified between lunar phases and stock returns suggests that it might be valuable to go beyond a rational asset pricing framework to explore investor behavior. The psychology literature has provided numerous theories on how mood affects perceptions and preferences. One theory is that mood affects perception through misattribution: attributing feelings to wrong sources leads to incorrect judgments (Schwarz and Clore, 1983 and Frijda, 1988). Alternatively, mood may affect people's ability to process information. In particular, investors may react to salient or irrelevant information when feeling good (Schwarz, 1990 and Schwarz and Bless, 1991). Finally, mood may affect preferences (Loewenstein, 2000 and Mehra and Sah, 2000). This paper is a first step toward documenting the possible effect of mood on asset prices. It would be interesting to better understand how mood affects asset prices. In a survey paper, Hirshleifer (2001) pointed out that one area of future research is to conduct experimental testing of behavioral hypotheses. In a related vein, future work could study the effect of mood on asset prices in an experimental setting. For example, does investment behavior in experimental settings differ during different phases of a lunar cycle?