Abstract

http://ssrn.com/abstract=2348138
 


 



Weather-Induced Mood, Institutional Investors, and Stock Returns


William N. Goetzmann


Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Dasol Kim


Case Western Reserve University - Department of Banking & Finance

Alok Kumar


University of Miami - School of Business Administration

Qin "Emma" Wang


University of Michigan Dearborn - College of Business

June 24, 2014


Abstract:     
This study shows that weather-based indicators of mood impact perceptions of mispricing and trading decisions of institutional investors. Using survey and disaggregated trade data, we show that relatively cloudier days increase perceived overpricing in individual stocks and the Dow Jones Industrial Index, and increase selling propensities of institutions. We introduce stock-level measures of investor mood; investor pessimism negatively impacts stock returns, mostly amongst stocks with higher arbitrage costs, and stocks experiencing similar changes in weather-induced mood exhibit return comovement. These findings complement existing studies on how weather impacts stock index returns, and identify another channel through which it can manifest.

Number of Pages in PDF File: 62

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Date posted: October 31, 2013 ; Last revised: June 25, 2014

Suggested Citation

Goetzmann, William N. and Kim, Dasol and Kumar, Alok and Wang, Qin "Emma", Weather-Induced Mood, Institutional Investors, and Stock Returns (June 24, 2014). Available at SSRN: http://ssrn.com/abstract=2348138 or http://dx.doi.org/10.2139/ssrn.2348138

Contact Information

William N. Goetzmann
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Dasol Kim
Case Western Reserve University - Department of Banking & Finance ( email )
10900 Euclid Ave.
Cleveland, OH 44106-7235
United States
Alok Kumar (Contact Author)
University of Miami - School of Business Administration ( email )
514 Jenkins Building
Department of Finance
Coral Gables, FL 33124-6552
United States
305-284-1882 (Phone)
HOME PAGE: http://moya.bus.miami.edu/~akumar
Qin "Emma" Wang
University of Michigan Dearborn - College of Business ( email )
Dearborn, MI 48126
United States
313-583-6487 (Phone)
HOME PAGE: http://sites.google.com/site/qinwangresearch/
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