Investor SAD Sentiment and Stock Returns in Taiwan

被引：7

作者：

Wang, Ching-Ping ^{[2
]}

Huang, Hung-Hsi ^{[1
]}

Chen, Yong-Wei ^{[3
]}

机构：

[1] Natl Chiayi Univ, Dept Banking & Finance, Chiayi, Taiwan

[2] Natl Kaohsiung Univ Appl Sci, Grad Inst Finance Econ & Business Decis, Kaohsiung 807, Taiwan

[3] Natl Pingtung Univ Sci & Technol, Grad Inst Finance, Pingtung, Taiwan

来源：

EMERGING MARKETS FINANCE AND TRADE | 2012年 / 48卷

关键词：

business cycle; Fama-French three-factor model; investor sentiment; seasonal affective disorder (SAD); BUSINESS CYCLES; WEATHER; JANUARY;

D O I：

10.2753/REE1540-496X48S203

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Previous studies have demonstrated that investor sentiment affects trading behavior and stock returns, and is correlated with seasons and weather. In addition, a great deal of evidence supports the main systematic factors of the Fama-French (FF) three-factor model. This study presents both the seasonal affective disorder (SAD) model and the SAD-FF model to examine the influence of season and weather on Taiwan stock returns from 1991 to 2010. To determine whether SAD variables affect stock returns, the SAD and SAD-FF models include the additional, explanatory variable of the business cycle factor.

引用

页码：40 / 57

页数：18

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