The Groundhog Day stock market anomaly

Shanaev, Savva, Shuraeva, Arina and Fedorova, Svetlana (2022) The Groundhog Day stock market anomaly. Finance Research Letters, 47 (Part A). p. 102641. ISSN 1544-6123

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Official URL: https://doi.org/10.1016/j.frl.2021.102641

Abstract

This paper discovers a distinct calendar anomaly on the US stock market associated with the Groundhog Day prognostication tradition across 1928-2021. There are significant positive abnormal returns around the “prediction” of an early spring, while buy-and-hold returns around the “prediction” of a long winter are 2.78% lower. The results are robust in subsamples, to a set of placebo tests for international stock indices, and cannot be explained by January effect, the “Halloween Indicator”, turn-of-the-month effect, or other seasonalities. The findings imply major and persistent irrational optimism of US investors revolving around Groundhog Day early spring prognostications.

Item Type: Article
Uncontrolled Keywords: stock market, stock market anomaly, behavioural finance, Groundhog Day
Subjects: N100 Business studies
N300 Finance
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: Elena Carlaw
Date Deposited: 23 Dec 2021 15:50
Last Modified: 29 Jun 2022 14:45
URI: http://nrl.northumbria.ac.uk/id/eprint/48052

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