Weather, Stock Returns, and the Impact of Localized Trading Behavior

By Tim Loughran, Paul H. Schultz. Journal of Financial and Quantitative Analysis, 2003

258 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/759b6ea2669bdbcfbd2005f367a344476180707e

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Citations in the corpus

Liquidity: Urban Versus Rural Firms (2005, unknown): “To classify stocks as urban or rural, we follow a number of authors, including Coval and Moskowitz (1999), Zhu (2002), Ivkovic and Weisbenner (2004), Loughran and Schultz (2004), and Malloy (2004), and use a company's headquarters as a proxy for its location.”
Weather and intraday patterns in stock returns and trading activity (2008, methodology): “When investors are in a down mood, they may be pessimistic and have less of a desire to trade and tend to sell rather than buy (Loughran and Schultz, 2004; Goetzmann and Zhu, 2005).”
The Impact of Firm Location on Equity Issuance (2008, background): “Consistent with this, Loughran and Schultz (2005) and Malloy (2005) report that investment bankers provide less analyst coverage for rural firms than similar urban companies.”
Weather-Induced Mood, Institutional Investors, and Stock Returns (2015, background): “31 One notable exception is Loughran and Schultz (2004), who indirectly examine the effect of localized trading by firm headquarter locations.”
Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market (2010, unknown): “This method is not only highly profitable 1 See, for example, Saunders (1993), Hirshleifer and Shumway (2003), Kamstra, Kramer, and Levi (2000, 2003, 2007), Frieder and Subrahmanyam (2004), Loughran and Schultz (2004), and Cao and Wei (2005).”
The Causal Impact of Media in Financial Markets (2011, result): “Following Loughran and Schultz (2004), we define a Blizzard as greater than or equal to eight inches of new snow, although other definitions give similar results.”
Robust global mood influences in equity pricing (2008, background): “Loughran and Schultz (2004) note some possible criticisms of this approach: (1) there is no psychological literature showing that people ‘seasonalise’ weather before reacting to it, and (2) it introduces a ‘look-ahead’ bias, i.e. investor decisions at the beginning of the time period are assumed to…”
Sudden Deaths: Taking Stock of Geographic Ties (2007, background): “Firm-specific factors Previous work has suggested that firms controlled by dominant business families are more likely to have political ties, or be more politically influential (Morck et al., 2000, Morck and Yeung, 2004). To capture the influence of dominant business families, we include a Family in”
The Price of a CEO's Rolodex (2012, methodology): “First, we identify a specific CEO attribute that has a meaningful impact on pay, complementing recent work on CEO characteristics by Murphy and Zabojnik (2006), Frydman (2007), and Kaplan, Klebanov and Sorensen (2008).”
Rain or Shine: Where is the Weather Effect? (2005, unknown): “Saunders (1993) finds that the relationship between stock market returns and Wall Street weather weakened in the second half of his study period.”