Pollution and Performance: Do Investors Make Worse Trades on Hazy Days?
研究中国34个城市87,504名个人投资者的股票交易数据，发现空气污染越严重，交易业绩越差，且污染使投资者更易受处置效应和注意力驱动买入行为的影响。
This paper examines the relation between air pollution and individual investors’ trading behavior and performance. Using unique data on stock trades by 87,504 individuals from 34 cities in China, we find a negative relation between air pollution and trade performance. This result is obtained after controlling for investor-year fixed effects and date fixed effects, as well as local weather conditions. More strikingly, abnormal trade performance decreases monotonically with the levels indicating the severity of air pollution. Furthermore, we find evidence suggesting that air pollution makes investors more susceptible to the disposition effect and attention-driven buying behavior. Overall, the results highlight a hitherto-unexplored cost that ambient air pollution imposes on stock market investors. This paper was accepted by Tylor Shumway, finance.