Seasonality in Perceived Risk: A Sentiment Effect

Guy Kaplanski, Haim Levy

Research output: Contribution to journalArticlepeer-review

8 Scopus citations


Studies which attribute markets' seasonality to sentiment assume that seasonal affective disorder (SAD) creates seasonal fluctuations in risk-aversion which, in turn, affects prices. Employing the variance risk premium (VP), we directly test for seasonality in risk-aversion. We find significant seasonality in the VP which is not explained by exogenous events, market-realized variance and returns and major macroeconomic variables. We use the number of people who actively suffer from SAD to show that consistent with the SAD hypothesis VP and SAD are significantly positively correlated. International comparison reveals significant positive association between the magnitude of seasonally and the prevalence of SAD.

Original languageEnglish
Article number1650015
JournalQuarterly Journal of Finance
Issue number1
StatePublished - 1 Mar 2017

Bibliographical note

Publisher Copyright:
© 2017 World Scientific Publishing Company.


  • Volatility risk premium
  • investor sentiment
  • market efficiency
  • seasonality in risk-aversion


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