rational expectations or moonstruck economics?

[Michael Perelman <michael@xxxxxxxxxxxxxxxxx>]

"Are Investors Moonstruck? - Lunar Phases and Stock Returns"

      BY:  KATHY YUAN
              University of Michigan
              Business School
           LU ZHENG
              University of Michigan
           QIAOQIAO ZHU
              University of Michigan
              Department of Finance

Document:  Available from the SSRN Electronic Paper Collection:
           http://papers.ssrn.com/paper.taf?abstract_id=283156

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    Date:  September 5, 2001

 Contact:  KATHY YUAN
   Email:  Mailto:kyuan@xxxxxxxxx
  Postal:  University of Michigan
           Business School
           701 Tappan Street
           Ann Arbor, MI 48109-1234  USA
 Co-Auth:  LU ZHENG
   Email:  Mailto:luzheng@xxxxxxxxx
  Postal:  University of Michigan
           701 Tappan Street
           Ann Arbor, MI 48109  USA
 Co-Auth:  QIAOQIAO ZHU
   Email:  Mailto:qqzhu@xxxxxxxxx
  Postal:  University of Michigan
           Department of Finance
           701 Tappan Street
           Ann Arbor, MI 48109  USA

ABSTRACT:
 Psychological evidence and casual intuition predict that lunar
 phases regulate mood. This paper investigates the relation
 between lunar phases and stock market returns in 48 countries.
 We find strong global evidence that stock returns are lower on
 days around a full moon than on days around a new moon. The
 magnitude of the return difference is 6.6 percent per annum from

 our 15-day window panel analysis. The lunar effect is
 independent of other calendar-related anomalies such as the
 January effect, the day-of-week effect, and the calendar month
 effect.


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Michael Perelman
Economics Department
California State University
Chico, CA 95929

Tel. 530-898-5321
E-Mail michael@xxxxxxxxxxxxxxxxx