Documented lower stock returns around full moons in 48 countries
Kathy Yuan, Lu Zheng & Qiaoqiao Zhu
Kathy Yuan, Lu Zheng and Qiaoqiao Zhu wrote 'Are Investors Moonstruck? Lunar Phases and Stock Returns' at the University of Michigan (Yuan and Zheng at the business school, Zhu in economics), published in the Journal of Empirical Finance in 2006. The paper is held in the research repositories of the London School of Economics and the Australian National University, where Yuan and Zhu later worked.
What they argue
- Stock returns are lower on the days around a full moon than around a new moon, by 3% to 5% a year across 48 countries.
- The lunar effect is not explained by macroeconomic announcements or by known calendar anomalies such as the January and day-of-week effects.
Sources
Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.
New-moon versus full-moon lunar cycle effect
Rule and full recordCalendar · daily
Own the stock around the new moon and step aside for the 15 days centred on each full moon.
Best risk-adjusted results against buy and hold: