Stocks and the weather: An exercise in data mining or yet another capital market anomaly?
We try to replicate the findings in Saunders (1993) that stock prices are “systematically affected by local weather”. Using German data, we find that whether or not the null hypothesis of no relationship can be rejected depends mostly on the way the null hypothesis is phrased, and that no systematic relationship seems to exist.
JEL Classification System-NumbersC12
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