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Based on their own quality measure, Asness et al. (2019) document that quality stocks significantly outperform junk stocks. In this article, we attempt to explore the quality-based return patterns from behavioural perspective. The empirical findings demonstrate that the relative performance of quality stocks exhibits significant mood seasonality, i.e. the return spreads of quality and junk stocks decrease (increase) during high (low)-mood months. Furthermore, we also find that the return spreads exhibit significant mood recurrence and reversal effects proposed by Hirshleifer et al. (2020). All of these findings support the argument that mood would be an important source for the outperformance of quality stocks.

Junk Stocks vs Quality Stocks, A Perspective from Mood Seasonality