Good Day Sunshine: Stock Returns and the Weather
研究1982至1997年26个国家主要交易所所在城市的早晨日照时长与每日市场指数收益的关系，发现日照显著正向影响收益，而雨雪无影响，低交易成本下基于天气的策略有效，但频繁交易会抵消收益，挑战完全理性定价。
Abstract Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relationship between morning sunshine in the city of a country's leading stock exchange and daily market index returns across 26 countries from 1982 to 1997. Sunshine is strongly significantly correlated with stock returns. After controlling for sunshine, rain and snow are unrelated to returns. Substantial use of weather‐based strategies was optimal for a trader with very low transactions costs. However, because these strategies involve frequent trades, fairly modest costs eliminate the gains. These findings are difficult to reconcile with fully rational price setting.