BAFI Research Seminar

Weather-Induced Mood, Institutional Investors, and Stock Returns

Sponsored by: Dept. of Banking & Finance

Speaker(s): Professor Dasol Kim

Date & Time: Sep 25, 2013 1:30 PM - 3 PM

This study shows that weather-based indicators of mood impact perceptions of mispricing and trading decisions of institutional investors. We use survey and disaggregated trade data to show that relatively cloudier days increase perceived overpricing in both individual stocks and the Dow Jones Industrial Index, and increases selling propensities of institutions. We introduce stock-level measures of investor mood, and demonstrate that investor pessimism negatively impacts daily stock returns, mostly among stocks that are costly to arbitrage. Finally, we document comovement in stocks experiencing similar changes in investor mood. These findings complement existing studies on the weather effect on stock index returns, and identify an additional channel through which it can manifest.

Fee: [Yes/No/Varies]

Contact Information:
Tedda Nathan, Dept. Administrator
txn2@case.edu
216-368-2040
216-368-6249

Location
120 Peter B. Lewis Building
11119 Bellflower Road
Cleveland, OH 44106-7235
United States