Is it the weather? Comment

To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.jbankfin.2008.09.013 Byline: Mark J. Kamstra (a), Lisa A. Kramer (b), Maurice D. Levi (c) Keywords: Seasonal affective disorder; SAD; Sell in May; Stock market cycles; Return seasonality Abstract: This comment discusses some errors in a recent paper by Jacobsen and Marquering [Jacobsen, B., Marquering, W., 2008. Is it the weather? Journal of Banking and Finance 32 (4), 526-540], in which the authors challenge our previous finding that stock market returns exhibit seasonal patterns consistent with the influence of seasonal affective disorder on investor risk aversion. We find that we cannot replicate the authors' findings, even after corresponding with them. Furthermore, we document several problems with their methodology, including misspecification of their economic model, misspecification of their econometric model, and use of inappropriate data. While we agree that seasonal affective disorder is not an explanation for all variation in equity markets, we do maintain that careful analysis leads to economically and statistically significant evidence of the effect we originally documented. Author Affiliation: (a) Schulich School of Business, York University, 4700 Keele Street, Toronto, Ontario, Canada M3J 1P3 (b) Rotman School of Management, University of Toronto, 105 St. George Street, Toronto, Ontario, Canada M5S 3E6 (c) Sauder School of Business, University of British Columbia, 2053 Main Mall, Vancouver, BC, Canada V6T 1Z2 Article History: Received 20 July 2008; Accepted 11 September 2008