Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958553 | Journal of Empirical Finance | 2013 | 9 Pages |
Abstract
This paper proposes a modification of an optimal test for cycles in multiple time series and applies it to test the hypothesis that there is a relationship between stock returns and the phases of the moon. No significant relationship is found, which is in line with the evidence from descriptive statistics. The fact that previous studies have reached different conclusions is traced to the use of inappropriate statistical methods and data snooping.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Erhard Reschenhofer, Michaela Lingler,