HEARING BEFORE THE COMMITTEE ON BANKING, HOUSING, ANDURBANAFFAIRS UNITED STATES SENATE

We begin our investigation with a comprehensive look at possible lunar cycle effects in U.S. stock returns. We find that stock returns are substantially higher around new moon dates as compared to full moon dates. This pattern exists for all major U.S. stock indexes over the full history of available returns, including the Dow Jones Industrial Average (1896-1999), the S&P 500 (1928-2000), NYSE-AMEX (1962-2000), and Nasdaq (1973-2000). The economic magnitude of this difference is large, with daily returns around new moon dates nearly double those around full moon dates. As another calibration statistic, the annualized...
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HEARING BEFORE THE COMMITTEE ON BANKING, HOUSING, ANDURBANAFFAIRS UNITED STATES SENATE