Stock market returns: A note on temperature anomaly

By M. Cao, Jason Wei. 2005

522 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, General Decision Sciences

View Paper: https://www.semanticscholar.org/paper/954b4d83c917b9101974ec9580c32d232aaa6587

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Citations in the corpus

Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market (2010, unknown): “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). For a comprehensive survey of the literature on behavioral biases and their influence on the stock ”
Climate Change, Firm Performance, and Investor Surprises (2019, unknown): “Also, there is a large amount of literature on the direct effect of the weather on investors’ sentiment and returns [Cao and Wei, 2005, Kamstra et al., 2003, Symeonidis et al., 2010].”
Gone Fishin': Seasonality in Trading Activity and Asset Prices (2009, result): “We are, however, unable to distinguish between different types of heterogeneous agent models (beliefs versus liquidity) since these models generate similar predictions.”
The Effect of Weather on Consumer Spending (2010, unknown): “Previous research has demonstrated that weather influences behavior and that mood can mediate such effects (e.g., Barker et al., 1994; Cao and Wei, 2005; Cohn, 1990a, 1990b; Cunningham, 1979; Kamastra et al., 2003).”
War and stock markets: The effect of World War Two on the British stock market (2015, background): “…seemingly economically unimportant events having been shown to have a significant effect on stock returns, such as cloud cover, (Saunders 1993) daylight (Kamstra et al 2000; 2003), sunshine (Hirshleifer and Shumway 2003), temperature (Cao and Wei 2005) and even sports results (Edmans et al 2007).”
Does the Weather Affect Stock Market Volatility (2010, background): “Dowling and Lucey (2008) study the empirical effect of seven moodproxies on both the returns and variances of 37 national equity market indices and 21 small capitalization indices. They employ GARCH-type processes to approximate and model the variations in the conditional variance of returns. Their ”
Influence of Warm versus Cool Temperatures on Consumer Choice: A Resource Depletion Account (2012, background): “Finally, the impact of temperature on financial decisions was significant, as demonstrated by our research in the domain of gambling and Cao and Wei (2005) in the domain of stock market returns.”
Temperature and Decisions: Evidence from 207,000 Court Cases (2019, background): “Relatedly, a number of behavioral finance papers (for examples Hirshleifer and Shumway (2003), Cao and Wei (2005), Floros (2011)) link daily variations in weather - typically cloud cover and sunshine, but also temperature and humidity - to stock price movements via changes in emotional state.”
Weather and intraday patterns in stock returns and trading activity (2008, background): “…and remain robust after controlling for other weather variables (Cooke et al., 2000; Hirshleifer and Shumway, 2003; Loughran and Schultz, 2004; Cao and Wei, 2005), day-of-the-week and month-of-the-year effects (Cross, 1973; Smirlock and Starks, 1986; Thaler, 1987a,b), daylight saving time…”
Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars. (2014, result): “Cao and Wei (2005) find similar empirical results and also tell a behavioral story, but they suggest that the driving factor is lower risk aversion in the winter months.”
Robust global mood influences in equity pricing (2008, background): “Cao and Wei (2005) study the relationship between temperature and equity returns. They test for a relationship between returns on 27 national equity indices and low and high temperatures (low and high temperatures are defined relative to a ‘comfortable’ temperature of 18.33 degrees Celsius). They fi”