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A review of the seasonal affective disorder hypothesis

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  • Keef, Stephen P.
  • Khaled, Mohammed S.

Abstract

This review of the SAD hypothesis of Kamstra et al. (2003), hereafter KKL (2003), isolates four new problems. First, the KKL (2003) statistical model does not test the KKL (2003) SAD hypothesis. Second, KKL (2003) do not properly interpret their results. Third, KKL (2003) incorrectly specify the sign of the SAD effect in the winter. The revised SAD hypothesis is that hours of night have a negative influence on stock returns in the fall and in the winter. Fourth, the statistical tests do not support either the KKL (2003) hypothesis or the revised SAD hypothesis.

Suggested Citation

  • Keef, Stephen P. & Khaled, Mohammed S., 2011. "A review of the seasonal affective disorder hypothesis," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(6), pages 959-967.
  • Handle: RePEc:eee:soceco:v:40:y:2011:i:6:p:959-967
    DOI: 10.1016/j.socec.2011.08.012
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    Cited by:

    1. Khaled, Mohammed S. & Keef, Stephen P., 2013. "Seasonal affective disorder: onset and recovery," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 42(C), pages 136-139.
    2. Tomasz Schabek & Henrique Castro, 2017. "“Sell not only in May”. Seasonal Effects on Stock Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 5-18.
    3. Zaremba, Adam & Schabek, Tomasz, 2017. "Seasonality in government bond returns and factor premia," Research in International Business and Finance, Elsevier, vol. 41(C), pages 292-302.
    4. Zhang, Cherry Y. & Jacobsen, Ben, 2021. "The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time," Journal of International Money and Finance, Elsevier, vol. 110(C).

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    More about this item

    Keywords

    Seasonal affective disorder (SAD); International; Stock returns; Seasonality;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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