TY - JOUR
T1 - The Groundhog Day stock market anomaly
AU - Shanaev, Savva
AU - Shuraeva, Arina
AU - Fedorova, Svetlana
PY - 2022/6/1
Y1 - 2022/6/1
N2 - This paper discovers a distinct calendar anomaly on the US stock market associated with the Groundhog Day prognostication tradition across 1928-2021. There are significant positive abnormal returns around the “prediction” of an early spring, while buy-and-hold returns around the “prediction” of a long winter are 2.78% lower. The results are robust in subsamples, to a set of placebo tests for international stock indices, and cannot be explained by January effect, the “Halloween Indicator”, turn-of-the-month effect, or other seasonalities. The findings imply major and persistent irrational optimism of US investors revolving around Groundhog Day early spring prognostications.
AB - This paper discovers a distinct calendar anomaly on the US stock market associated with the Groundhog Day prognostication tradition across 1928-2021. There are significant positive abnormal returns around the “prediction” of an early spring, while buy-and-hold returns around the “prediction” of a long winter are 2.78% lower. The results are robust in subsamples, to a set of placebo tests for international stock indices, and cannot be explained by January effect, the “Halloween Indicator”, turn-of-the-month effect, or other seasonalities. The findings imply major and persistent irrational optimism of US investors revolving around Groundhog Day early spring prognostications.
KW - stock market
KW - stock market anomaly
KW - behavioral finance
KW - Groundhog Day
KW - Groundhog day
KW - Behavioural finance
KW - Stock market anomaly
KW - Stock market
UR - http://www.scopus.com/inward/record.url?scp=85121812659&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2021.102641
DO - 10.1016/j.frl.2021.102641
M3 - Article
VL - 47
JO - Finance Research Letters
JF - Finance Research Letters
SN - 1544-6123
IS - Part A
M1 - 102641
ER -