Lunar Cycle Effects In Stock Returns
- Topics:
- Commercial Lending
- Tags:
- Euromoney Institutional Investor,
- Finance,
- Financial Planning,
- Financial Services,
- Investment,
- Return,
- Stock
- Source:
- Euromoney Institutional Investor
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Overview: The article explains the lunar cycle effects in stock returns. It finds that the pattern of U.S. results is largely repeated but stronger for foreign countries. Specifically, new moon returns are higher than full moon returns for 23 out of 24 countries, where the average of annualized differences is on the magnitude of 7% to 10%. In addition, combining U.S. and international data allows us to construct powerful statistical tests, which reject the null hypothesis of no difference in returns at high levels of statistical significance. In contrast, it is found that lunar cycle effects in return volatility, volume of trading, bond returns, and interest rate changes are either statistically unreliable or have small economic magnitudes.
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Format: PDF | Size: 191KB | Date: Oct 2003 | Pages: 22
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