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COWLES FOUNDATION FOR RESEARCH IN ECONOMICS YALE UNIVERSITY

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We investigate for lunar cycle effects in stock returns for two reasons. First, contemporary surveys confirm that a large part of the population, about 50 percent, believes that strange behavior peaks around the full moon (e.g., Kelly, Rotton, and Culver 1996). If such behavior exists, it seems plausible that it influences investor behavior and the resulting stock prices and returns. Note that, in contrast to existing evidence of lunar effects on sporadic and extreme behavior, stock prices are powerful aggregators of regular and recurring human behavior. Using daily stock index data over decades and many.