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Mood Betas and Seasonalities in Stock Returns -- by David Hirshleifer, Danling Jiang, Yuting Meng

Existing research has documented cross-sectional seasonality of stock returns--the periodic outperformance of certain stocks relative to others during the same calendar month, weekday, or pre-holiday periods. A model in which stocks differ in their sensitivities to investor mood explains these effects and implies new sets of seasonal patterns. We find that relative performance across stocks during past high or low mood months and weekdays tends to recur in future periods with congruent mood, and to reverse in periods with non-congruent mood. Stocks with higher sensitivities to aggregate mood swings--higher mood betas--earn higher expected returns during future high mood periods and lower expected returns during future low mood periods, including those induced by Daylight Saving Time changes, weather conditions and anticipation of major holidays.