The Groundhog Day stock market anomaly
نویسندگان
چکیده
This paper discovers a distinct calendar anomaly on the US stock market associated with Groundhog Day prognostication tradition across 1928–2021. There are significant positive abnormal returns around “prediction” of an early spring, while buy-and-hold long winter 2.78% lower. The results robust in subsamples, to set placebo tests for international indices, and cannot be explained by January effect, “halloween Indicator”, turn-of-the-month or other seasonalities. findings imply major persistent irrational optimism investors revolving spring prognostications.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2022
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2021.102641