Kamstra et al. (2000) documented a very peculiar calendar anomaly - stock market returns are lower after daylight savings weekends. This is associated with the effect daylight savings practice has on investor mood and attention spans. Is the daylight savings anomaly still relevant in 2023? Today we are discussing the theory behind the daylight savings anomaly, contextualise it within the scope of behavioural finance, and learn how to calculate and test it in Excel.
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