Is it the Weather?

29 Pages Posted: 30 Sep 2008 Last revised: 20 Oct 2008

See all articles by Ben Jacobsen

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; Massey University

Wessel Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management

Multiple version iconThere are 3 versions of this paper

Date Written: September 28, 2004


We show that results in the recent strand of the literature, which tries to explain stock returns by weather induced mood shifts of investors, might be data-driven inference. More specifically, we consider two recent studies (Kamstra, Kramer and Levi, 2003a and Cao and Wei, 2005) that claim that a seasonal anomaly in stock returns is caused by mood changes of investors due to lack of daylight and temperature variations, respectively. While we confirm earlier results in the literature that there is indeed a strong seasonal effect in stock returns in many countries: stock market returns tend to be significantly lower during summer and fall months than during winter and spring months as documented by Bouman and Jacobsen (2002), there is little evidence in favor of a SAD or temperature explanation. In fact, we find that a simple winter/summer dummy best describes this seasonality. Our results suggest that without any further evidence the correlation between weather-related variables and stock returns might be spurious and the conclusion that weather affects stock returns through mood changes of investors is premature.

Important Note: Results in this version deviate slightly from the Journal of Banking version as part of the dataset in that version was incorrect. Although results are qualitatively similar this version contains estimates and tables recalculated based on the proper dataset.

Keywords: Stock market seasonality, Sell in May, Seasonal Affective Disorder, temperature, spurious correlations

JEL Classification: G10, G12

Suggested Citation

Jacobsen, Ben and Marquering, Wessel A., Is it the Weather? (September 28, 2004). Available at SSRN: or

Ben Jacobsen

Tilburg University - TIAS School for Business and Society ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB

Massey University ( email )

New Zealand

Wessel A. Marquering (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Financial Management ( email )

P.O. Box 1738
Rotterdam 3000 DR
+31 10 408 2786 (Phone)
+31 10 408 9017 (Fax)

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