Filed 01/09/12 for the Period Ending 02/23/12

Prompted by the intriguing pattern in stock returns, in this section we broaden the investigation of lunar cycle effects to other related variables in the U.S. economy. First, we extend the analysis to other variables related to stock trading, specifically the standard deviation of stock returns and volume of trading. Recall that the magnitudes of the standard deviations in Table 1 suggest that there is little difference between new moon and full moon volatilities of returns. The formal tests for possible differences are presented in Table 2, Panel A for the 7-day window specification and Panel B...