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- W2579970897 abstract "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." @default.
- W2579970897 created "2017-02-03" @default.
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- W2579970897 date "2020-07-01" @default.
- W2579970897 modified "2023-10-17" @default.
- W2579970897 title "Mood beta and seasonalities in stock returns" @default.
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- W2579970897 doi "https://doi.org/10.1016/j.jfineco.2020.02.003" @default.
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