Kuo, Jing-Ming; Coakley, Jerry; Wood, Andrew - In: Applied Financial Economics 20 (2010) 20, pp. 1565-1575
We propose and adduce evidence for a new seasonal anomaly associated with the Lunar Moon Festival (LMF) in East Asian economies. While the LMF effect bears some resemblance to the festivity and vacation anomalies, it is mainly driven by nostalgia, historically negative associations, the full...