Winter Blues: A SAD Stock Market Cycle

By Mark J. Kamstra, Lisa A. Kramer, Maurice D. Levi. 2003

965 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/49095722c183e50757f8f69639f2e75a91752858

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Citations in the corpus

Projection Bias in Catalog Orders (2007, methodology): “Indeed, Loewenstein, O’Donoghue, and Rabin (2003) emphasize how, when a person has many opportunities to buy, all it takes is one high-valuation day to ensure overbuying. Applied here, all it takes is one cold day to induce the person to buy the jacket. We leave such issues for future research. A se”
War and stock markets: The effect of World War Two on the British stock market (2015, background): “…seemingly economically unimportant events having been shown to have a significant effect on stock returns, such as cloud cover, (Saunders 1993) daylight (Kamstra et al 2000; 2003), sunshine (Hirshleifer and Shumway 2003), temperature (Cao and Wei 2005) and even sports results (Edmans et al 2007).”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “Kamstra et al. (2003) predict that the stock markets of countries in the northern hemisphere will trend downward as the winter solstice approaches: the fewer hours of daylight induce a type of depression known as Seasonal Affective Disorder in many people, and depression leads to risk aversion.”
Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market (2010, methodology): “This method is not only highly profitable 1 See, for example, Saunders (1993), Hirshleifer and Shumway (2003), Kamstra, Kramer, and Levi (2000, 2003, 2007), Frieder and Subrahmanyam (2004), Loughran and Schultz (2004), and Cao and Wei (2005).”
Weather and intraday patterns in stock returns and trading activity (2008, background): “Kamstra et al. (2003) also document that seasonal affective disorder induced by fewer hours of daylight is predictive of a seasonal variation in equity returns.”
Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars. (2014, background): “Kamstra, Kramer, and Levi (2003) offer a plausible mechanism whereby the weather, through its impact on investor risk-aversion, induces predictability in market returns.”
The Role of Feelings in Investor Decision-Making (2005, neutral): “Kamstra et al. (2003) argue that the seasonal variation in hours of sunlight in the day, which leads to widespread depression (a depression known as Seasonal Affective Disorder (SAD) when it is severe, but the mild form of which is simply called ‘winter blues’) is predictive of a seasonal variation…”
Time varying risk aversion (2013, background): “…2007 for a summary), on fear and risk aversion (e.g., Lerner and Keltner, 20 0 0, 20 01 ), and that on the effect of emotions and anxiety on risk attitudes, portfolio choice, and stock returns ( Kamstra et al., 2003; Kramer and Weber, 2012; Kandasamy et al., 2014 ; and Bassi et al., 2013 ).”
Do Happy People Make Optimistic Investors (2015, background): “The return effect is more profound and significant in most cases, while the risk effect is in the expected direction but significant only in one case.”
Weather, biorhythms, beliefs and stock returns—Some preliminary Irish evidence (2005, methodology): “The SAD variable is calculated based on a formula in Kamstra et al. (2003).4 This formula gives a measure of the reduction in the hours of sunlight in the day from the 4 See the notes to Table 4 for details on this formula.”
Emotional State and Market Behavior (2013, positive): “Kamstra et al. (2003) observe that returns are relatively low in fall and winter and appeal to a similar intuition to explain their results.”