FINANCIAL MANAGEMENT ·Volume 47, Issue 1· 2018

学校假期与股市的季节性

作者：Lily Fang (INSEAD, Singapore), Chunmei Lin (Tinbergen Institute, Rotterdam), Yuping Shao (National University of Singapore)

摘要：我们使用了47个国家的学校假期数据，发现学校假期和市场回报率之间存在很强的联系。股市回报率在主要学校假期之后的一个月比其他月份低0.6%到1%。这个现象可以解释但不限于“九月效应”。在美国，过去的一个世纪里只有九月展示了负的平均回报率。在控制了月份固定效应后，后学校假期效应依然存在。我们认为该效应是由投资者在假期内注意力分散使得证券价格对市场负面信息的反应变慢所致。

School Holidays and Stock Market Seasonality

Lily Fang (INSEAD, Singapore), Chunmei Lin (Tinbergen Institute, Rotterdam), Yuping Shao (National University of Singapore)

ABSTRACT

Using school holiday data from 47 countries, we find a strong link between school holidays and market returns. Stock market returns in the month after major school holidays are 0.6% to 1% lower than in other months. This explains, but is not limited to, the “September effect.” In the United States, September is the only month that exhibits a negative average return over the past century. The postschool holiday effect remains even with monthly fixed effects. We explore the explanation that the effect is due to investor inattention during school holidays, which slows the incorporation of (negative) information in security prices.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12182/full

翻译：吴雨玲