Weather-Induced Mood, Institutional Investors, and Stock Returns

• 成果类型: Article
• 署名作者: Goetzmann, William N.; Kim, Dasol; Kumar, Alok; Wang, Qin
• 署名单位: Yale University; University System of Ohio; Case Western Reserve University; University of Miami; University of Michigan System; University of Michigan
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu063
• 发表日期: 2015
• 页码: 73
• 关键词: SEASONAL AFFECTIVE-DISORDER; LIGHT TREATMENT; BRIGHT LIGHT; RISK; Sentiment; preferences; DEPRESSION; consistent; aversion; Sunshine

摘要

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 optimism positively impacts stock returns among stocks with higher arbitrage costs, and stocks experiencing similar investor 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.