Good Day Sunshine : Stock Returns And The Weather  

Oleh:

Shumway, Tyler ; Hirshleifer, David

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 3 (2003), page 1009-1032.
Topik: stock returns; studies; correlation analysis; weather; rates of return; mathematical models; statistical analysis
Fulltext: p 1009.pdf (198.82KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relationship between morning sunshine in the city of a country's leading stock exchange and daily market index returns across 26 countries from 1982 to 1997. Sunshine is strongly significantly correlated with stock returns. After controlling for sunshine, rain and snow are unrelated to returns. Substantial use of weather - based strategies was optimal for a trader with very low transaction costs. However, because these strategies involve frequent trades, fairly modest costs eliminate the gains. These findings are difficult to reconcile with fully rational price setting.

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