Cultural New Year Holidays and Stock Returns around the World
研究了11个国际市场中非1月1日的文化新年假期前后股票回报，发现假期月份股票异常回报平均高出2.5%，且受节日情绪和现金注入影响。
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.