Heston and Sadka (2008) document the return seasonality anomaly—that cross-sectional stock returns depend on their historical same calendar-month returns. We propose an information-cycle explanation for this anomaly, that firms’ seasonal information releases lead to higher returns in months...

We show that the returns of individual stocks become more synchronous with the aggregate market during periods of high investor sentiment. We also document that the effect of sentiment on stock return synchronicity is especially pronounced for small, young, volatile, non-dividend-paying and...