Using several proxies for seasonal affective disorder (SAD), we find that SAD negatively affects IPO first trading day return (underpricing) during the 1981-1989 and 1999-2000 periods, but not during the 1990-1998 and 2001-2007 periods. During those periods when SAD affects IPO underpricing,...

Kamstra et al. (2003, 2011) offer measures of the prevalence of the seasonal affective disorder based on the hours of night and the medical incidence of the disorder in the North American population. Simpler measures are constructed by Kliger et al. (2012) using variables based upon the four...