School Holidays and Stock Market Seasonality

Using school holiday data from 47 countries, we find a strong link between school holidays and market returns. Stock market returns in the month after major school holidays are 0.6% to 1% lower than in other months. This explains, but is not limited to, the 'September effect. ' In the United States, September is the only month that exhibits a negative average return over the past century. The postschool holiday effect remains even with monthly fixed effects. We explore the explanation that the effect is due to investor inattention during school holidays, which slows the incorporation of (negative) information in security prices.
In this paper, we document a novel asset pricing pattern. Globally, stock market returns are 0.6% to 1% lower in the months after major school holidays than at other times. [...]