Kelly, Patrick J.; Meschke, Felix - In: Journal of Banking & Finance 34 (2010) 6, pp. 1308-1326
Widely-cited research by Kamstra et al. (2003) argues that changes in mood resulting from Seasonal Affective Disorder (SAD) drive changes in investor risk aversion and cause seasonal patterns in aggregate stock returns around the world. In this paper we reexamine the so-called SAD effect by...