Kamstra, Kramer, and Levi (2003) suggested a very elegant and compelling explanation for calendar anomalies associated with higher returns during autumn or winter months (such as Halloween effect or January effect). Kamstra et al. (2003) proposed that shorter daytime hours that induce lower mood in people experiencing seasonal affective disorder (SAD) can increase their risk aversion and lead to higher stock market returns when nighttime is longer. Today we are investigating the concepts behind the SAD anomaly test, the mathematics and Excel implementation of it, and discuss whether the anomaly really exists.
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