--- In FairfieldLife@yahoogroups.com, new.morning <[EMAIL PROTECTED]> wrote: > > I have not read the paper yet, but the researchers look credible. > > > > Abstract: > We find strong lunar cycle effects in stock returns. Specifically, > returns in the 15 days around new moon dates are about double the > returns in the 15 days around full moon dates. >>>
Yea that friggin' PMS screws up all the fun ! Seriously though, I wouldn't be surprised by this. Did you read that book Supernature by Lyle (Somebody) way back when? Very formative book for me. OffWorld <<This pattern of returns > is pervasive; we find it for all major U.S. stock indexes over the > last 100 years and for nearly all major stock indexes of 24 other > countries over the last 30 years. In contrast, we find no reliable or > economically important evidence of lunar cycle effects in return > volatility and volume of trading. Taken as a whole, this evidence is > consistent with popular beliefs that lunar cycles affect human behavior. > > http://papers.ssrn.com/sol3/papers.cfm?abstract_id=281665 > > > Conclusion and suggestions for future research > This paper documents a lunar cycle effect in stock returns around the > world. > Returns around new moon dates are about double the returns around full > moon dates. > This pattern of returns is pervasive. We find it for all major U.S. > stock indexes over the > last 100 years and for nearly all of 24 other countries analyzed over > the last 30 years. > 23 > The economic magnitude of the new moon/full moon difference is large, > with annualized > differences on the magnitude of 5 to 10 percent, rivaling and probably > exceeding the > market risk premium. However, we find no reliable evidence of lunar > cycle effects in > return volatility or volume of trading. > Similar to the Monday effect, the nature of the lunar cycle effect in > returns makes > it unlikely that it will translate into exploitable trading > strategies. However, the lunar > cycle effect is intriguing because it provides strong new evidence > about a link between > stock prices and human behavior that is difficult to fully explain in > terms of traditional > economic thought. Some of our preliminary findings also suggest > possible future areas > for exploration. For example, we find some evidence of lunar cycle > effects in bond > prices and interest rate changes. However, this evidence is mixed and > rather limited, > suggesting that it might be useful to expand the investigation to > larger samples and a > wider array of asset prices (e.g., commodities, futures, and options). > Since realized stock > returns reflect unexpected changes in expectations, another > possibility is to investigate > whether changes in analysts' forecasts are more optimistic during new > moon than in full > moon periods. Such additional evidence would sharpen our understanding > of the > magnitude and the causes of the lunar cycle effect and offer links and > implications to the > wider world of finance and economics. > Finally, the evidence from stock returns differs from the conclusions > of the lunar > cycle literature in psychology and medicine. The consensus in this > literature is that there > is no reliable relation between lunar cycles and human behavior. > However, most of these > studies investigate deviant and fairly extreme behavior and rely on > limited samples, often > on the magnitude of a few dozen to a few hundred observations. This > approach > 24 > potentially results in low statistical power, especially if lunar > cycle effects on human > behavior exist but are fairly mild. In contrast, the evidence in this > study relies on stock > price indexes, which aggregate routine investment decisions of > hundreds of millions of > people over periods ranging from dozens of years to over one hundred > years. The > difference in findings suggests that it might be fruitful to explore > new approaches to > identifying a link between lunar cycles and human behavior. For > example, the evidence > in this study suggests that people are more optimistic during new moon > periods than in > full moon periods. This evidence could be used to design controlled > experiments that > investigate for predictable changes in relative optimism as a function > of the lunar cycle. > To subscribe, send a message to: [EMAIL PROTECTED] Or go to: http://groups.yahoo.com/group/FairfieldLife/ and click 'Join This Group!' Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/FairfieldLife/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/FairfieldLife/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
