Are Investors Moonstruck? Lunar Phases and Stock Returns
This paper investigates the relation between lunar phases and stock market returns of 48countries. The findings indicate that stock returns are lower on the days around a full moon thanon the days around a new moon. The magnitude of the return difference is 3% to 5% per annumbased on analyses of two global portfolios: one equal-weighted and the other value-weighted.The return difference is not due to changes in stock market volatility or trading volumes. Thedata show that the lunar effect is not explained away by announcements of macroeconomicindicators, nor is it driven by major global shocks. Moreover, the lunar effect is independent of other calendar-related anomalies such as the January effect, the day-of-week effect, the calendarmonth effect, and the holiday effect (including lunar holidays).
: G12, G14
Weather Effect, Market Efficiency, Global Stock Market, CalendarAnomalies, Individual Behavior
Yuan and Zheng are at the Ross School of Business at the University of Michigan, 701 Tappan Street, Ann Arbor,MI 48109. Zhu is at the University of Michigan Economics Department. We thank Jing Wang for researchassistance. We are grateful to two anonymous referees, Geert Bekaert (the editor), Keith Brown, Kathy Clark,William Goetzmann, Campbell Harvey, David Hirshleifer, Han Kim, Nancy Kotzian, M.P. Narayanan, EmreOzdenoren, Scott Richardson, Tyler Shumway, Warren Zhang and seminar participants at the University of Michigan, Michigan State University, and University of Texas at Austin for helpful comments. All errors are ourown.