This paper investigates the impact of seasonal affective disorder (SAD) on stock market returns, a condition characterized by depression during shorter days in fall and winter. The authors argue that SAD leads to heightened risk aversion, which in turn affects stock market behavior. Using data from various stock exchanges and controlling for market seasonals and other environmental factors, they find that stock returns are significantly influenced by the length of daylight, particularly during fall and winter. Higher latitude markets show more pronounced SAD effects, and results in the Southern Hemisphere are six months out of phase with the Northern Hemisphere. The economic magnitude of the SAD effect is substantial, suggesting that it can significantly impact market returns. The study also explores the robustness of these findings and discusses the implications for trading strategies and market segmentation. Overall, the evidence supports the existence of a significant SAD effect on stock market returns, highlighting the importance of considering seasonal factors in financial analysis.This paper investigates the impact of seasonal affective disorder (SAD) on stock market returns, a condition characterized by depression during shorter days in fall and winter. The authors argue that SAD leads to heightened risk aversion, which in turn affects stock market behavior. Using data from various stock exchanges and controlling for market seasonals and other environmental factors, they find that stock returns are significantly influenced by the length of daylight, particularly during fall and winter. Higher latitude markets show more pronounced SAD effects, and results in the Southern Hemisphere are six months out of phase with the Northern Hemisphere. The economic magnitude of the SAD effect is substantial, suggesting that it can significantly impact market returns. The study also explores the robustness of these findings and discusses the implications for trading strategies and market segmentation. Overall, the evidence supports the existence of a significant SAD effect on stock market returns, highlighting the importance of considering seasonal factors in financial analysis.