Ain’t Misbehavioral

No kidding, I received an abstract of this paper in an email newsletter recently: Effect of wind on stock market returns: evidence from European markets


Applied Financial Economics, 2009, vol. 19, issue 11, pages 893-904

Abstract: Environmental psychology studies have found evidence that wind speed has a strong influence on mood and comfort. This study investigated the relationship between wind speed and daily stock market returns across 18 European countries from 1994 to 2004. A significant and pervasive wind effect was found on stock returns. This finding was supported by psychological literature claiming that mood affects judgement and decision-making in situations involving uncertainty and risk, and coincides with the argument of misattribution. This investigation also found strong seasonality effect and temperature effect in European stock markets. Specifically, the influence of wind on stock returns is demonstrated to be more significant than that of sunlight, indicating that wind might exert a stronger impact on mood than sunshine and hence be a better proxy for mood than sunshine. Above all, our findings contradict the rational asset-pricing hypothesis and contribute to the behavioural finance literature.

Date: 2009


Immensely clever, incredibly stupid, or a joke? A fact or an illusion? A proof that the entire universe is one big coherent system? Some parts of financial ‘theory’ always remind me of nutrition theory.

Coming soon maybe:

Effect of stock market returns on wind: evidence from natural gas traders on Kansas City Board of Trade

Originally published at Emanuel Derman’s Blog and reproduced here with the author’s permission.

One Response to "Ain’t Misbehavioral"

  1. Alan   August 14, 2009 at 10:23 pm

    The implication of this research is literally mind-blowing!