Are Investors Moonstruck? - Lunar Phases and Stock Returns

Zheng, Lu; Yuan, Ke‐Hai; Zhu, Qiaoqiao

doi:10.2139/ssrn.283156

Cited by 61 publications

(54 citation statements)

References 50 publications

(17 reference statements)

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“…Dichev and Janes (2003) and Yuan et al (2006) investigate the security returns during the days close to new moon against the days close to full moon. These studies find high returns being more related to new moon dates than to full moon dates however, tend to rely on basic OLS testing technique.…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Weather Effects on Stock Returns and Volatility in South Asian Markets

Sheikh¹,

Shah

Mahmood

2017

Asia-Pac Financ Markets

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Section: Literature Reviewmentioning

confidence: 99%

“…The website reports the full moon dates among other dates such as new moon, and quarter dates. Following Yuan et al (2006) we give value to each day based on how close the day is to the full moon using the formula:…”

Section: Biorhythmic Datamentioning

confidence: 99%

Weather Effects on Stock Returns and Volatility in South Asian Markets

Sheikh¹,

Shah

Mahmood

2017

Asia-Pac Financ Markets

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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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“…The authors showed that higher testosterone levels contribute to positive stock market results. They also found that a trader's cortisol rises with the volatility of the market and the level of risk taken Ariel (1990), Kamstra, Kramer and Levi (2003), and Yuan et al (2006) have found a relationship between biorhythms and mood. The so-called biorhythms are anomalies, such as the January effect, the tax loss effect, the Monday effect.…”

Section: The Lunar Cyclementioning

confidence: 93%

“…Yuan, Zheng and Zhu (2006) and Dichev and Janes (2003) found that stock returns are significantly lower on the days around a full moon than on the days around a new moon, and argued that the depressed mood associated with a full moon makes investors value stocks less, thereby inducing lower returns during full moon period. The explication could be simple: some studies have shown higher hormone levels during full moon phases (Cajochen et al, 2013;Coghlan, 2013).…”

Section: The Lunar Cyclementioning

confidence: 99%

Twitter investment alerts for Ibex35 securities

Martínez

García²,

Vázquez³

2017

REVISTA PERSPECT. EMPRESARIAL

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This paper sought to find the statistical relationship between Twitter messages and the evolution of the Spanish stocks mentioned in Tweets. We analyzed information from Twitter to evaluate stock sentiment using Stockbuzz -the first tool to gather information from the social network in Spanish. Stockbuzz has been developed by Spanish bank BBVA and shows the investors' mood for the IBEX 35 Spanish index. We use the application on investment decision making and calculate the average return depending on positive or negative Investors' Mood. We conclude that twitter is a valid tool to generate investment alerts.keywORDS Twitter, social networks, investors' mood, investment alerts, stock markets. HIStORIa Del aRtíCUlO¿CómO CItaR?: Alertas de Inversión en Twitter para Ibex35ReSUmen El presente artículo busca encontrar una relación estadística entre los mensajes de Twitter y la evolución de las bolsas de valores españolas que se menciona en los trinos. Analizamos información de Twitter para evaluar la percepción de la bolsa mediante Stockbuzz -la primera herramienta que recolecta información de la red social en español. Stockbuzz fue desarrollada por el banco español BBVA y muestra el ánimo de los inversores en la bolsa de valores española IBEX 35. Utilizamos la aplicación en las decisiones de inversión hacienda y calculando el retorno promedio dependiendo del ánimo positivo o negativo de los inversores. Concluimos que Twitter es una herramienta válida para generar alertas de inversión.palabRaS ClaVe Twitter, redes sociales, ánimo de los inversores, alertas de inversión, bolsas de valores. Alerta de Investimento em Twitter sobre Segurança no Ibex35ReSUmO Este artigo procurou encontrar a relação estatística entre as mensagens do Twitter e a evolução dos estoques espanhóis mencionados nos Tweets. Analisamos informações do Twitter para avaliar o sentiment do estoque usando Stockbuzz -a primeira ferramenta para coletar informações da rede social em espanhol. Stockbuzz foi desenvolvida pelo banco espanhol BBVA e mostra o clima dos investidores para o índice espanhol IBEX 35. Utilizamos o aplicativo sobre a tomada de decisões de investimento e calculamos o retorno médio dependendo da atitude positiva ou negativa dos investidores. Concluí-mos que Twitter é uma ferramenta válida para gerar alertas de investimento.palaVRaS CHaVe Twitter, redes sociais, atitude dos investidores, alertas de investimento, bolsas de valores.

show abstract

Are Investors Moonstruck? - Lunar Phases and Stock Returns

Cited by 61 publications

References 50 publications

Weather Effects on Stock Returns and Volatility in South Asian Markets

Weather Effects on Stock Returns and Volatility in South Asian Markets

Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul

Twitter investment alerts for Ibex35 securities

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