The seasonality of lottery-like stock returns

Using daily stock returns over 38 years, we extend the mood seasonality hypothesis to examine whether seasonal anomalies are more pronounced in stocks with lottery-like features preferred by individual investors. We find that the strength of various stock return seasonality patterns is significantly associated with stocks' lottery-likeness. The seasonality patterns of positive January and pre-holiday performance, and negative Monday performance are all enhanced the more lottery-like a stock is. Additional analysis for different prosperity periods indicates support for Prospect Theory. Overall, our results are consistent with investor mood seasonality (and conse-quential risk-tolerance) being expressed via speculative investments.