Good Day Sunshine: Stock Returns and the Weather
David A. Hirshleifer
University of California, Irvine - Paul Merage School of Business
The Stephen M. Ross School of Business at the University of Michigan
March 28, 2001
Dice Center Working Paper No. 2001-3
Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relation between morning sunshine at a country's leading stock exchange and market index stock returns that day at 26 stock exchanges internationally from 1982-97. Sunshine is strongly positively correlated with daily stock returns. After controlling for sunshine, other weather conditions such as rain and snow are unrelated to returns. If transactions costs are assumed to be minor, it is possible to trade profitably on the weather. These results are difficult to reconcile with fully rational price-setting.
Number of Pages in PDF File: 31
JEL Classification: G12, G14, D84, F39working papers series
Date posted: April 17, 2001
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