The Groundhog Day stock market anomaly

Savva Shanaev*, Arina Shuraeva, Svetlana Fedorova

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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Abstract

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.
Original languageEnglish
JournalFinance Research Letters
Early online date22 Dec 2021
DOIs
Publication statusE-pub ahead of print - 22 Dec 2021

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