Seasonality in Perceived Risk: A Sentiment Effect
Year: 2016
Type: article
Abstract: Studies which attribute markets’ seasonality to sentiment assume that seasonal affective disorder (SAD) creates seasonal fluctuations in risk-aversion which, in turn, affects prices. Employing the variance risk premium (VP), we directly test for seasonality in risk-aversion. We find significant seasonality in the VP which is not explained by exogenous events, market-realized variance and returns and major macroeconomic variables. We use the number of people who actively suffer from SAD to show that consistent with the SAD hypothesis VP and SAD are significantly positively correlated. International comparison reveals significant positive association between the magnitude of seasonally and the prevalence of SAD.
Source: Quarterly Journal of Finance
Authors: Guy Kaplanski, Haim Levy
Institutions: Bar-Ilan University, Hebrew University of Jerusalem
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funder: Hebrew University of Jerusalem
OpenAlex ID: W3123836745