Financial Management, Volume 45, Issue 1, pages 3–35, Spring 2016

文化里的新年假期与股票收益

作者：Kelley Bergsma and Danling Jiang

摘要：通过全球11个主要国际市场数据（这些国家庆祝新年假期不在1月1日）,我们发现股票市场在新年假期期间倾向于产生超额收益。在控制公司特定因素后，相比于这一年中的其他月份，股票市场假期当月获得的超额收益高达2.5%。进一步的证据表明，积极的假期情绪以及假期之前的资金投入共同激发股价提升。对于一些被个人投资者偏好和交易的股票，这种现象更加明显。

关键词：新年假期，情绪，个人投资者

Cultural New Year Holidays and Stock Returns around the World

Kelley Bergsma and Danling Jiang

ABSTRACT

Using data from 11 major international markets that celebrate six cultural New Year holidays that do not occur on January 1, we find that stock markets tend to outperform in days surrounding a cultural New Year. After controlling for firm characteristics, an average stock earns 2.5% higher abnormal returns across all markets in the month of a cultural New Year relative to other months of the year. Further evidence suggests that positive holiday moods, in conjunction with cash infusions prior to a cultural New Year, produce elevated stock prices, particularly among those stocks most preferred and traded by individual investors.

keywords: Cultural New Year Holidays, Moods, Individual Investors

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12094/pdf

翻译：成祺炯