A number of recent papers document a link between mood and stock returns. Convincing arguments that such results are not simply the product of data mining call for investigating a new mood variable or testing an existing mood variable on an independent sample to confirm results of previous studies. For example, Hirshleifer and Shumway (2003) confirm and extend the sunlight effect first documented by Saunders (1993). Since the null hypothesis is that markets are efficient, such investigations should include a clear unidirectional alternative hypothesis, limiting the possibility of a rejection of the null in any direction suggesting statistical significance. For example, Frieder and Subrahmanyam (2004) find abnormally.
