putting their assets in the stock market. Furthermore, in contrast to the
January Effect, the September Effect has not only prevailed since 1990 but
it has actually been stronger over the past 16 years. It is curious that the
January Effect has received all the publicity while the September Effect
remains strong with very little research to date.
We can only speculate on why returns are so poor in September.
Maybe the poor returns have nothing directly to do with economics but
are related to the approach of winter and the depressing effect of rapidly
shortening daylight. Psychologists stress that sunlight is an essential in-
gredient to well-being: recent research has confirmed that the New York
Stock Exchange does significantly worse on cloudy days than it does on
sunny days.^8 But this explanation falters “down under” as September is
314 PART 4 Stock Fluctuations in the Short Run
FIGURE 18–4
The September Effect: Dow Jones Industrial Average, 1885 through December 2006(^8) Edward M. Saunders, Jr., “Stock Prices and Wall Street Weather,” American Economic Review, vol. 83
(December 1993), pp. 1337–1345.