Lunar Cycle Effects in Stock Returns

By Ilia D. Dichev, Troy D. Janes. 2003

140 citations recorded by the source corpus.

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Robust global mood influences in equity pricing (2008, background): “Despite the weak psychological evidence of a relationship between lunar phases and mood, some researchers (Dichev and Janes, 2003; Yuan et al., 2006) have investigated whether equity returns are higher in the days surrounding new moon dates than in the days surrounding full moon dates.”
Weather, biorhythms, beliefs and stock returns—Some preliminary Irish evidence (2005, background): “One area of study argues that there is a lunar cycle (known as a circatrigintan cycle) effect in stock prices (Dichev & Janes, 2001; Yuan, Zheng, & Zhu, 2001).”
Stock market returns: A note on temperature anomaly (2005, background): “…nature-related variables and events such as the amount of sunshine (Saunders, 1993; Hirshleifer and Shumway, 2003), the daylight-savings time change (Kamstra et al., 2000), the length of the night (Kamstra et al., 2003), and the lunar phases of the moon (Dichev and Janes, 2001; Yuan et al., 2001).”
The Role of Feelings in Investor Decision-Making (2005, unknown): “The authors instead argue that # Blackwell Publishing Ltd. 2005 because of the tradition and the persistence of beliefs about lunar cycle effect on human behaviour (Dichev and Janes, 2001, p. 3), it is worthy of investigation.”