Mood beta and seasonalities in stock returns Hirshleifer, David; Jiang, Danling; DiGiovanni, Yuting Meng
Journal of financial economics,
07/2020, Letnik:
137, Številka:
1
Journal Article
Recenzirano
Existing research has found cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. We hypothesize that assets’ ...different sensitivities to investor mood explain these effects and imply other seasonalities. Consistent with our hypotheses, relative performance across individual stocks or portfolios during past high or low mood months and weekdays tends to recur in periods with congruent mood and reverse in periods with noncongruent mood. Furthermore, assets with higher sensitivities to aggregate mood—higher mood betas—subsequently earn higher returns during ascending mood periods and earn lower returns during descending mood periods.
This paper explores the relationship between technological progress and the financial constraints faced by small and medium-sized enterprises (SMEs), as well as the role of digital financial ...inclusion in alleviating these constraints. Our study utilizes a unique dataset of SMEs in a coastal province of China to arrive at the conclusion that technological progress is positively associated with SMEs’ financing gap. This relationship is stronger for SMEs that depend on indirect debt financing. Moreover, digital financial inclusion, especially the depth of digital financial inclusion and digitalization level of financial service, can mitigate the adverse effects of technological progress on SMEs’ financial constraints. The coverage of digital financial inclusion, on the other hand, has no discernible impact.
Plain English Summary
Technological progress can lead to a heightened demand for external funding. Using a comprehensive survey of small and medium-sized enterprises (SMEs), this study examines the relationship between technological progress and the financial constraints faced by SMEs. More importantly, we account for the heterogeneous impact of access to different external financing and find that technological progress will incur a higher level of financial constraints, particularly for firms relying on indirect financing methods. We also find that digital financial inclusion can help to alleviate these financial constraints. The implication of our study is that policymakers should prioritize measures to improve the efficiency of banking systems and enhance lending opportunities for innovative SMEs, while also promoting the growth of digital financial inclusion.
This dissertation studies return seasonalities in the cross section and highlights the link between investor psychology and cross-sectional seasonalities. We document four main categories of return ...seasonalities in the stock market where predictable return persistence or reversal occurs across different calendar months, weekdays, holidays and firms’ earnings announcement days. First, relative performance across stocks during months with high (low) market returns tends to persist during months when aggregate returns are predicted to be high (low), but reverse during months when aggregate returns are predicted to be low (high). Second, relative performance across stocks on weekdays with high (low) market returns tends to persist on weekdays when aggregate returns are predicted to be high (low), but reverse on weekdays when aggregate returns are predicted to be low (high). These two types of seasonalities are robust to placebo tests and don’t diminish when controlling for risk and characteristics. Using such months or weekdays, we construct a mood beta with strong predictive power for monthly or daily returns. Third, we document a strong pre-holiday seasonality where stocks with above-average return during the two to three days immediately preceding or on a holiday tend to earn above-average return during the same pre-holiday window for at least 10 years. This pre-holiday seasonality is long-lasting, cannot be explained by a host of firm attributes, is present in foreign equity markets and only among firms with a retail clientele, and tends to reverse in the immediate, post-holiday period. A long-short strategy based on pre-holiday seasonality earns abnormal returns with high Sharpe ratios. Last, we document a strong seasonality during firms’ earnings announcement days. We show that a firm’s cumulative abnormal return (CAR) in a given fiscal quarter in a given fiscal year exhibits strong persistent patterns at fiscal annual intervals, while SUE doesn’t. Such persistence exists regardless of the content of SUE. We also show a strong persistence of firm’s earnings response (ER) at fiscal annual intervals. Collectively, we document a broad set of strong and puzzling return seasonalities in the cross section that cannot be explained by risk or characteristics. A model is provided to support our hypothesis that investors’ mood, attention and expectation swings are important sources of such seasonalities in the cross section.
