Salient to Investors:

Harrison Hong at Princeton and Jialin Yu at Columbia find:

  • Data from 51 stock markets shows that trading activity falls during the summer because investors are gone fishin’.
  • Stock returns are lower in the summer than non-summer. This effect is larger for the top ten markets than for the markets outside the top ten and more pronounced in Europe and North America than in other regions. Stock returns are lower during the summer for countries with significant declines in trading activity.
  • Turnover and returns are a bit higher during the winter but these effects are not statistically significant.
  • Share turnover was substantially higher during the dot-com period than after the collapse of internet stock prices.
  • Share turnover and liquidity tend to be higher during periods when the market is doing well. There is no difference in turnover between May to October and the rest of the year.

Lamont and Frazzini (2007) find that stock returns are higher around earnings announcements.

Bouman and Jacobsen document that mean return is lower from May to October compared to the rest of the year for a large cross-section of 37 countries.

Kamstra, Kramer and Levi posit that seasonal affective disorder (related to a lack of sunlight) increases investor risk aversion and find consistent with their hypothesis that returns are lower during the summer when there is more daylight in a sample of nine countries.

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