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The seasonality of lottery-like stock returns

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  • Gould, John
  • Yang, Joey W.
  • Singh, Ranjodh
  • Yeo, Ben

Abstract

Using daily stock returns over 38 years, we extend the mood seasonality hypothesis to examine whether seasonal anomalies are more pronounced in stocks with lottery-like features preferred by individual investors. We find that the strength of various stock return seasonality patterns is significantly associated with stocks’ lottery-likeness. The seasonality patterns of positive January and pre-holiday performance, and negative Monday performance are all enhanced the more lottery-like a stock is. Additional analysis for different prosperity periods indicates support for Prospect Theory. Overall, our results are consistent with investor mood seasonality (and consequential risk-tolerance) being expressed via speculative investments.

Suggested Citation

  • Gould, John & Yang, Joey W. & Singh, Ranjodh & Yeo, Ben, 2023. "The seasonality of lottery-like stock returns," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 383-400.
    • Handle: RePEc:eee:reveco:v:83:y:2023:i:c:p:383-400
    DOI: 10.1016/j.iref.2022.09.004
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    Cited by:

    1. Arbab Khalid Cheema & Wenjie Ding & Qingwei Wang, 2023. "The cross-section of January effect," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 513-530, October.

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    More about this item

    Keywords

    Seasonality pattern; Abnormal returns; Lottery-like stocks; Mood;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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