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The Groundhog Day stock market anomaly

Author

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  • Shanaev, Savva
  • Shuraeva, Arina
  • Fedorova, Svetlana

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.

Suggested Citation

  • Shanaev, Savva & Shuraeva, Arina & Fedorova, Svetlana, 2022. "The Groundhog Day stock market anomaly," Finance Research Letters, Elsevier, vol. 47(PA).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005766
    DOI: 10.1016/j.frl.2021.102641
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    More about this item

    Keywords

    Stock market; Stock market anomaly; Behavioural finance; Groundhog day;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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