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The ambiguous December

Author

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  • Shust, Efrat

Abstract

This study documents a seasonality in capital market ambiguity. It shows that ambiguity tends to increase along the calendar year. Moreover, December records an exceptionally high level of ambiguity. In half of the sample years, December exhibits the highest or the second-highest ambiguity among all months. This pattern is not found for the volatility index (VIX). The “December Ambiguity Effect” is robust to numerous tests and persists after controlling for macroeconomic parameters. A possible explanation for this effect is the obsoleteness of information disclosed at the beginning of the year by firms with December fiscal year-end.

Suggested Citation

  • Shust, Efrat, 2024. "The ambiguous December," Finance Research Letters, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000205
    DOI: 10.1016/j.frl.2024.104990
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    More about this item

    Keywords

    Ambiguity; Knightian uncertainty; Stock market seasonality; Volatility index;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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