This comment discusses some errors in a recent paper by Jacobsen and Marquering [Jacobsen, B., Marquering, W., 2008. Is it the weather? Journal of Banking and Finance 32 (4), 526-540], in which the authors challenge our previous finding that stock market returns exhibit seasonal patterns...

Recent research has investigated the role of depression induced by seasonal affective disorder, SAD, for stock market returns. This paper extends this enquiry by developing the implications of SAD in a continuous-time equilibrium-return framework with time-varying risk aversion. This approach...

We explore the connection between equity returns and sleep disruptions following daylight-savings time changes. In international markets, the average Friday-to-Monday return on daylight-savings weekends is markedly lower than expected, with a magnitude 200 to 500 percent larger than the average...