Good Day Sunshine: Stock Returns and the Weather Export

@article{citeulike:2310551, abstract = {Abstract 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 transactions 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.}, author = {Hirshleifer, David and Shumway, Tyler}, citeulike-article-id = {2310551}, citeulike-linkout-0 = {http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6261.00556}, citeulike-linkout-1 = {http://dx.doi.org/10.1111/1540-6261.00556}, citeulike-linkout-2 = {http://www3.interscience.wiley.com/cgi-bin/abstract/118869924/ABSTRACT}, doi = {10.1111/1540-6261.00556}, journal = {The Journal of Finance}, number = {3}, pages = {1009--1032}, posted-at = {2008-01-31 10:57:28}, priority = {2}, title = {Good Day Sunshine: Stock Returns and the Weather}, url = {http://dx.doi.org/10.1111/1540-6261.00556}, volume = {58}, year = {2003} }

TY - JOUR ID - citeulike:2310551 L3 - citeulike-article-id:2310551 N2 - Abstract 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 transactions 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. IS - 3 JF - The Journal of Finance EP - 1032 TI - Good Day Sunshine: Stock Returns and the Weather VL - 58 SP - 1009 AU - Hirshleifer, David AU - Shumway, Tyler PY - 2003/// UR - http://dx.doi.org/10.1111/1540-6261.00556 ER -