The Groundhog Day stock market anomaly

This paper discovers a distinct calendar anomaly on the US stock market associated with the Groundhog Day prognostication tradition across 1928-2021. There are significant positive abnormal returns around the prediction of an early spring, while buy-and-hold returns around the prediction of a long winter are 2.78% lower. The results are robust in subsamples, to a set of placebo tests for international stock indices, and cannot be explained by January effect, the halloween Indicator, turn-of-the-month effect, or other seasonalities. The findings imply major and persistent irrational optimism of US investors revolving around Groundhog Day early spring prognostications.

Automated summary

This paper identifies a unique calendar anomaly in the US stock market related to the Groundhog Day prognostication tradition. The results suggest significant abnormal returns during the prediction of an early spring, while lower buy-and-hold returns are observed during the prediction of a long winter. These findings are robust across different subsamples and placebo tests for international stock indices, and cannot be explained by other seasonal factors. The study implies the presence of significant and persistent irrational optimism among US investors surrounding Groundhog Day early spring forecasts.