School Holidays and Stock Market Seasonality
利用47个国家的学校假期数据，发现学校假期后一个月股票回报率比其他月份低0.6%到1%，这解释了九月效应等季节性现象，可能源于假期期间投资者注意力分散导致负面信息融入价格变慢。
Abstract Using school holiday data from 47 countries, we find a strong link between school holidays and market returns. Stock market returns in the month after major school holidays are 0.6% to 1% lower than in other months. This explains, but is not limited to, the “September effect.” In the United States, September is the only month that exhibits a negative average return over the past century. The postschool holiday effect remains even with monthly fixed effects. We explore the explanation that the effect is due to investor inattention during school holidays, which slows the incorporation of (negative) information in security prices.