Stock Returns And The Weather
DOWNLOAD
READ
Download Stock Returns And The Weather PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Stock Returns And The Weather book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
The Effect Of Weather On Stock Returns A Comparison Between Emerging And Developed Markets
DOWNLOAD
READ
Author : Irina Prodan
language : en
Publisher: Anchor Academic Publishing (aap_verlag)
Release Date : 2013-06-01
The Effect Of Weather On Stock Returns A Comparison Between Emerging And Developed Markets written by Irina Prodan and has been published by Anchor Academic Publishing (aap_verlag) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-01 with Political Science categories.
One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.
Good Day Sunshine
DOWNLOAD
READ
Author : David A. Hirshleifer
language : en
Publisher:
Release Date : 2008
Good Day Sunshine written by David A. Hirshleifer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relation between morning sunshine at a country's leading stock exchange and market index stock returns that day at 26 stock exchanges internationally from 1982-97. Sunshine is strongly positively correlated with daily stock returns. After controlling for sunshine, other weather conditions such as rain and snow are unrelated to returns. If transactions costs are assumed to be minor, it is possible to trade profitably on the weather. These results are difficult to reconcile with fully rational price-setting.
Stock Returns And The Weather
DOWNLOAD
READ
Author : Ivano Flueckiger
language : en
Publisher:
Release Date : 2019
Stock Returns And The Weather written by Ivano Flueckiger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Research has shown that investors are subject to behavioural biases such as loss aversion or mood-based decision making. A proxy for mood that has been shown to have a significant effect on stock returns is sunshine at an exchange's location. This thesis examines the relation between cross-sectional stock returns and the weather at Wall Street and at each traded company's headquarter. I use portfolio sorts and regression techniques on a comprehensive sample of the US stock market between 1980 and 2017 and on headquarter data between 2007 and 2017. I show that there is a relation between stock returns and the weather both at Wall Street and at headquarter. While the relation is statistically significant, economic impact is limited. Nevertheless, I provide further evidence that financial markets are not entirely rational and I show that modern asset pricing models should incorporate behavioural factors in addition to measures of systematic and idiosyncratic risk.
Under Pressure
DOWNLOAD
READ
Author : Michael Schneider
language : en
Publisher:
Release Date : 2014
Under Pressure written by Michael Schneider and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This paper uses a novel approach to analyze the weather's effect on stock returns. In contrast to previous studies, I focus on barometric pressure to analyze whether there is a weather effect because only barometric pressure is physically experienced by all decision makers, be they indoors or outdoors. Psychological studies show that high barometric pressure induces positive moods. Comparing large cap, small cap, and technology stocks, I find that barometric pressure has a strong, robust, and economically significant positive impact on stock returns. The effect is strongest for technology stocks and for small stocks. Controlling for other weather variables used in previous studies, I conclude that barometric pressure is the main weather variable affecting stock returns. Moreover, it is possible to predict the next day's return.
Bad Day Sunshine Stock Returns And The Weather
DOWNLOAD
READ
Author : Rita Salviti
language : de
Publisher: GRIN Verlag
Release Date : 2006-05-20
Bad Day Sunshine Stock Returns And The Weather written by Rita Salviti and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-05-20 with Business & Economics categories.
Studienarbeit aus dem Jahr 2004 im Fachbereich BWL - Investition und Finanzierung, Note: 2,0, Eberhard-Karls-Universität Tübingen, Veranstaltung: 2,0, Sprache: Deutsch, Abstract: Sonnenschein wirkt Stimmungsbeeinflussend – das kann ein jeder von uns bestätigen und ist auch durch psychologische Studien bewiesen Aber kann Sonnenschein auch den Wertpapiermarkt beeinflussen? Genau dieser Frage stellen sich Hirshleifer und Shumway in ihrem im Jahre 2003 im Journal of Finance erschienen Artikel „Good Day Sunshine: Stock Returns and the Weather“. Um eine Antwort zu geben, untersuchten die Autoren die Beziehung zwischen morgendlichem Sonnenschein in den wichtigsten Börsenstädten von 26 Ländern und der Rendite des entsprechenden nationalen Aktienindexes des selben Tages für den Zeitraum 1982 bis 1997. Hirshleifer und Shumway gehen dabei von der durch verschiedene psychologische Studien belegten Annahme aus, welche besagt, dass ein Zusammenhang zwischen Sonnenschein und Verhalten existiert. Kernaussage dieser Studien ist, dass Personen sich umso besser fühlen, je mehr Sonnenschein sie ausgesetzt sind. Wenn Menschen aufgrund von Sonnenschein optimistischer sind, lässt sich daraus schließen, dass sie an sonnigen Tagen eher geneigt sein könnten, Aktien zu kaufen. Insbesondere könnten sie fälschlicherweise ihre gute Laune auf positive wirtschaftliche Aussichten zurückführen, anstatt auf gutes Wetter. Dies weist darauf hin, dass Sonnenschein positiv mit den Aktienrenditen korreliert sein kann.
Weather Induced Mood Institutional Investors And Stock Returns
DOWNLOAD
READ
Author : William N. Goetzmann
language : en
Publisher:
Release Date : 2014
Weather Induced Mood Institutional Investors And Stock Returns written by William N. Goetzmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This study shows that weather-based indicators of mood impact perceptions of mispricing and trading decisions of institutional investors. Using survey and disaggregated trade data, we show that relatively cloudier days increase perceived overpricing in individual stocks and the Dow Jones Industrial Index, and increase selling propensities of institutions. We introduce stock-level measures of investor mood; investor pessimism negatively impacts stock returns, mostly amongst stocks with higher arbitrage costs, and stocks experiencing similar changes in weather-induced mood exhibit return comovement. These findings complement existing studies on how weather impacts stock index returns, and identify another channel through which it can manifest.
Weather Stock Returns And The Impact Of Localized Trading
DOWNLOAD
READ
Author : Tim Loughran
language : en
Publisher:
Release Date : 2003
Weather Stock Returns And The Impact Of Localized Trading written by Tim Loughran and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
We document by several methods that trading in Nasdaq stocks islocalized. The first evidence of localized trading is that the time zone of a company's headquarters affects intraday trading patterns in its stock. Stocks of west coast firms have lower volume early in the trading day than east coast companies and do not exhibit the steep decline in volume documented for the east coast lunch hour. Second, firms in blizzard-struck cities see a dramatic trading volume drop compared to firms in other cities. On average, about 1/3 of a normal day's trading volume is lost when a blizzard strikes. Third, trading volume drops for stocks in general during Yom Kippur, but the effect is particularly strong for cities with large Jewish populations. The finding that trading in Nasdaq stocks is geographically concentrated allows us to construct powerful alternative tests of other researchers' finding that stock returns are lower on cloudy days. We construct portfolios of Nasdaq stocks based in 25 cities. We are unable to find any evidence that cloud cover in the city of a company's headquarters affects its stock returns.
Good Day Sunshine
DOWNLOAD
READ
Author : David Hirshleifer
language : en
Publisher:
Release Date : 2001
Good Day Sunshine written by David Hirshleifer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Capitalists and financiers categories.
Good Day Sunhine
DOWNLOAD
READ
Author :
language : en
Publisher:
Release Date : 2001
Good Day Sunhine written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Is There A Difference In The Weather Effect Between Developed And Emerging Markets
DOWNLOAD
READ
Author : Irina Prodan
language : en
Publisher: GRIN Verlag
Release Date : 2012-11-27
Is There A Difference In The Weather Effect Between Developed And Emerging Markets written by Irina Prodan and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-27 with Business & Economics categories.
Master's Thesis from the year 2012 in the subject Economics - Other, grade: 1, VU University Amsterdam , language: English, abstract: One renowned and frequently researched anomaly over the last two decades is the weather effect – the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment. The results show that weather has a very small impact on the worldwide stock market returns and that the significance of the weather effect is decreasing over time with a cyclical pattern in terms of its recurrence. We identify the year 2001 as the cut-off point when the significance of weather on stock markets diminishes. No support has been found for a real difference in the weather effect between emerging and developed countries. However, evidence has been found of the relative inefficiency of the emerging markets and for the declining influence of weather in time.