Good day sunshine: Stock returns and the weather
Good day sunshine: Stock returns and the weather
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DOI：
10.1111/1540-6261.00556
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发表时间：
2003-06-01
影响因子：
8
通讯作者：
Shumway, T
中科院分区：
文献类型：
--
作者：
Hirshleifer, D;Shumway, T
心理学证据和偶然的直觉预测，阳光明媚的天气与乐观的情绪有关。本文考察了1982年至1997年期间，一个国家主要证券交易所所在城市的早晨阳光与26个国家的每日市场指数收益率之间的关系。阳光与股票收益率之间存在显著的正相关关系。在控制日照后，雨雪与回报无关。大量使用基于天气的策略对于交易成本非常低的交易者来说是最佳的。然而，由于这些策略涉及频繁的交易，相当适度的成本抵消了收益。这些发现很难与完全合理的定价相一致。
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.