Air pollution and stock returns in the US

Levy, Tamir; Yagil, Joseph

doi:10.1016/j.joep.2011.01.004

Cited by 187 publications

(105 citation statements)

References 27 publications

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“…It is widely accepted that the relationship between moon phases and mood may have implications to investors' behaviour (Levy and Yagil, 2011). Yuan et al (2006) Finally, our study shows that half of the international stock markets support the theories of behavioural finance (i.e.…”

Section: Resultssupporting

confidence: 70%

“…9 This study, in line with previous studies on the same area (Floros, 2011), ignores the impact of electronic trading on stock market returns. 10 Khaled and Keef (2011) report that the January effect is explained by the tax-loss selling and window-dressing theories; the essence of the January hypothesis is that investment managers sell shares close to the end of the financial/calendar year and then reinvest early in the lower during the first day of the week (Monday effect -see Levy and Yagil, 2011;Bohl et al, 2010;Alt et al, 2011). These calendar effects are heavily related with the behavioural finance theories (i.e.…”

Section: Methodsmentioning

confidence: 99%

“…These calendar effects are heavily related with the behavioural finance theories (i.e. investors' mood) in the way that (1) the January effect shows that financial returns are large comparing to the returns of the other months (Floros, 2011), and (2) the Monday effect 11 is where the returns are significantly lower over the first trading day of the week (see Levy and Yagil, 2011;Yuan et al, 2006); explanations include the settlement procedure hypothesis, measurement errors, the timing of earnings announcements and the influence of news (mood) on conditional variance (see Zakoian, 1994;Glosten et al, 1993); further, we model returns using an AR(1) mean equation, consistently with the nonsynchronous trading effect (see Floros, 2011;Charles, 2010).…”

Section: Methodsmentioning

confidence: 99%

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Moon Phases, Mood and Stock Market Returns

Floros

Tan

2013

Journal of Emerging Market Finance

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We employ recent data from 59 international emerging and mature stock markets to provide new evidence of a lunar cycle (full and new moon) effect on their stock market returns. Using a TGARCH model, we further examine the linkages between efficient-market theory, calendar-related effects and investors' mood resulted from moon phases. The empirical results show significant full moon effects in 6 markets, and significant new moon effects in 8 markets. In line with the theory, we report significant positive effect of new moon on stock market returns in 5 cases (UK, Switzerland, Bangladesh, Chile and Cyprus), while a negative effect of full moon is reported for the case of Jordan only. In addition, we find that lunar effects are strongly influenced by the calendar anomalies (Monday effect and January effect); several markets -mostly emerging markets-show evidence of full/new moon effects as well as Monday/January effects (Bangladesh, Brazil, Chile, Tunisia, Belgium, Cyprus). Further, we prove that the lunar phases are stronger outside America. These findings are recommended to investors, financial managers and analysts dealing with international stock indices.

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Section: Resultssupporting

confidence: 70%

Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

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Moon Phases, Mood and Stock Market Returns

Floros

Tan

2013

Journal of Emerging Market Finance

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“…The psychological literature in the past decade showed that even economically-neutral events, including weather (Saunders, 1993;Hirshleifer and Shumway, 2003;Cao and Wei, 2005), the daylight-savings time change (Kamstra et al 2000), the lunar phases of the moon (Yuan et al 2006), and air pollution (Levy and Yagil, 2011) systematically correlate to variation of asset returns. The basic rationale is that these economically-neutral events have potential repercussions on the 'mood' of an investor, which translates into investment behavior that cannot be explained by the rationality principle.…”

Section: Introductionmentioning

confidence: 99%

Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul

Fung

Demir

Lau

et al. 2015

Journal of International Financial Markets, Institutions and Mo

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This paper examines the impact of international soccer matches on the Turkish stock market using firm-level and sorted-portfolio data. Applying Edmans et al. (2007) estimation method, we found a significant negative loss effect. However, once using panel data analysis as well as modeling spatial and temporal effects explicitly, the sportssentiment effect disappeared. The same conclusions could be made by replacing win (loss) dummies with unexpected win (loss) variables, removing Monday matches, dropping sports-related firms, and sorting portfolio returns by market capitalization and past returns. Hence, there is very limited micro-evidence to support the 'overreaction' hypothesis of individual investors using Borsa Istanbul data. However, we found evidence that sporting events have a larger impact on stock return volatility for firms with smaller market capitalization and lower past returns.

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“…Levy and Yagil (2011) found that market participants in the exchange were influenced by the local air, thereby promoting changes in stock prices, indicating that the worse the air quality of New York was, the lower the stock returns of the New York Stock Exchange would be. Hu et al (2010) found that the local air quality of the exchange would not affect the stock returns, but the relative values of the air quality index (AQI) of Shanghai and Beijing were significantly negatively correlated with stock returns, indicating that Chinese investors would compare the local air quality with Beijing's air quality, and Beijing's air quality had become an important "benchmark" affecting investor sentiment in China.…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

PM2.5, Investor Sentiment, and Stock Returns

Huang¹

2017

dtetr

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This paper investigates how PM2.5 affects the stock price of firms from heavy polluting industries and environment-friendly industries in China, applying the emotion cognition theory into the investor sentiment theory framework. We argue that PM2.5 will affect people's emotion, which in turn, affect their investing decision. Meanwhile, people will attribute the release of PM2.5 to heavy polluting firms, when have better predictions for environment-friendly firms. The empirical results are consistent with the argument: PM2.5 has negative impact on stock price of heavy polluted firms, and has positive impact on environment-friendly industries firms. The results of this paper imply that capital market can play as an "invisible hand" to improve air quality of China.

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Air pollution and stock returns in the US

Cited by 187 publications

References 27 publications

Moon Phases, Mood and Stock Market Returns

Moon Phases, Mood and Stock Market Returns

Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul

PM2.5, Investor Sentiment, and Stock Returns

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