Several empirical studies reveal that holidays generally create positive sentiment in the stock market, whereas negative events, such as wars or disasters are accompanied by negative sentiment. However, what happens if a negative event occurs on a holiday? In such a case, we expect two...

Behavioral economic studies reveal that negative sentiment driven by bad mood and anxiety affects investment decisions and may hence affect asset pricing. In this study we examine the effect of aviation disasters on stock prices. We find evidence of a significant negative event effect with a...

Studies which attribute markets' seasonality to sentiment assume that seasonal affective disorder (SAD) creates seasonal fluctuations in risk-aversion which, in turn, affects prices. Employing the variance risk premium (VP), we directly test for seasonality in risk-aversion. We find significant...