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1、UndergraduateEconomicReviewVolume7
2、Issue1Article192011ReassessmentoftheWeatherEffect:StockPricesandWallStreetWeatherMitraAkhtariUniversityofCalifornia,Berkeley,mitra0416@berkeley.eduRecommendedCitationAkhtari,Mitra(2011)"ReassessmentoftheWeatherEffect:StockPrice
3、sandWallStreetWeather,"UndergraduateEconomicReview:Vol.7:Iss.1,Article19.Availableat:http://digitalcommons.iwu.edu/uer/vol7/iss1/19ThisArticleisbroughttoyouforfreeandopenaccessbytheEconomicsDepartmentatDigitalCommons@IWU.IthasbeenacceptedforinclusioninUndergradu
4、ateEconomicReviewbyanauthorizedadministratorofDigitalCommons@IWU.Formoreinformation,pleasecontactsdaviska@iwu.edu.©Copyrightisownedbytheauthorofthisdocument.Akhtari:ReassessmentoftheWeatherEffectIntroductionSunshineaffectsmoodandmoodcanshapebehavior.Itisthenplau
5、sibletotestifweatherisrelatedtoeconomicoutcomes,suchasmarketreturn.The‘weathereffect’isdocumentedbysome,Saunders(1993)andHirshleiferandShumway(2003),andclaimedanexerciseindataminingbyothers,KramerandRunde(1997).Inthepaperthatfollows,Istudytherelationshipbetweenw
6、eatherandequitypricesovertimeusingvariousmeasuresofthechangeinweatherandmarketreturn.Totestthehypothesisthatsunshineaffectsstockreturns,Iusesimpleregressionstoexaminetherelationshipbetweendailycloudiness,theinverseofsunshine,ofNewYorkCityandthereturnontheDowJone
7、sIndustrialAverageindex.Forthetimeperiodof1948to2010,thereisanegativerelationshipbetweenaveragecloudinessandDJIgrosssimplereturn.Aftercontrollingformarketanomalies,suchastheJanuaryandtheweekendeffects,achangeinweatherfromsunnytoovercastskiesisassociatedwithanadd
8、itional.79percentagepointdeclineingrossreturn(t-statistic=-2.81).SotheweathereffectseemstoexistforthistimeperiodinNewYorkCity.Onsunnydays,investorsfeelmoreoptimisticandmorewillingtoinvestinriskyassets;thischangeinbehaviorleadstohigherstockprices.However,ifthesam
9、esimpleregressionisusedtostudy30yearsub-samplesatatime,althoughtheestimatedcoefficientonaveragecloudinessisnegativeforallperiods,therelationshipbetweencloudinessandma
