| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w9465
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| 来源ID | Working Paper 9465
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| Rain or Shine: Where is the Weather Effect? |
| William N. Goetzmann; Ning Zhu
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| 发表日期 | 2003-02-03
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| 出版年 | 2003
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| 语种 | 英语
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| 摘要 | Saunders (1993) and Hirshleifer and Shumway (2001) document the effect of weather on stock returns. The proposed explanation in both papers is that investor mood affects cognitive processes and trading decisions. In this paper, we use a database of individual investor accounts to examine the weather effects on traders. Our analysis of the trading activity in five major U.S. cities over a six-year period finds vistually no difference in individuals propensity to buy or sell equities on cloudy days as opposed to sunny days. If the association between cloud cover and stock returns documented for New York and other world cities is indeed caused by investor mood swings, our findings suggest that researchers should focus on the attitudes of market-makers, news providers or other agents physically located in the city hosting the exchange. NYSE spreads widen on cloudy days. When we control for this, the significance of the weather effect is dramatically reduced. We interpret this as evidence that the behavior of market-makers, rather than individual investors, may be responsible for the relation between returns and weather. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Financial Markets
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| URL | https://www.nber.org/papers/w9465
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567084
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推荐引用方式
GB/T 7714 |
William N. Goetzmann,Ning Zhu. Rain or Shine: Where is the Weather Effect?. 2003.
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文件名：
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w9465.pdf
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格式：
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Adobe PDF
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