Good Day Sunshine: Stock Returns and the Weather

David Hirshleifer and Tyler G. Shumway
Additional contact information
Tyler G. Shumway: University of Michigan

Finance from University Library of Munich, Germany

Abstract: 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.

Keywords: market efficiency; mood and securities prices; psychology and finance (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 40 pages
Date: 2004-12-04
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 40. PDF
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Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Good Day Sunshine: Stock Returns and the Weather (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0412004

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