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Are Investors Moonstruck? Lunar Phases and Stock Returns Kathy Yuan kyuan@umich.edu Lu Zheng luzheng@umich.edu Qiaoqiao Zhu qqzhu@umich.edu Abstract This paper investigates the relation between lunar phases and stock market returns of 48 countries. The findings indicate that stock returns are lower on the days around a full moon than on the days around a new moon. The magnitude of the return difference is 3% to 5% per annum based on analyses of two global portfolios: one equal-weighted and the other value-weighted. The return difference is not due to changes in stock market volatility or trading volumes. The data show that the lunar effect is not explained away by announcements of macroeconomic indicators, nor is it driven by major global shocks. Moreover, the lunar effect is independent of other calendar-related anomalies such as the January effect, the day-of-week effect, the calendar month effect, and the holiday effect (including lunar holidays). Classification Code: G12, G14 Key Words: Lunar Phases, Weather Effect, Market Efficiency, Global Stock Market, Calendar Anomalies, Individual Behavior Yuan and Zheng are at the Ross School of Business at the University of Michigan, 701 Tappan Street, Ann Arbor, MI 48109. Zhu is at the University of Michigan Economics Department. We thank Jing Wang for research assistance. We are grateful to two anonymous referees, Geert Bekaert (the editor), Keith Brown, Kathy Clark, William Goetzmann, Campbell Harvey, David Hirshleifer, Han Kim, Nancy Kotzian, M.P. Narayanan, Emre Ozdenoren, Scott Richardson, Tyler Shumway, Warren Zhang and seminar participants at the University of Michigan, Michigan State University, and University of Texas at Austin for helpful comments. All errors are our own.