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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 he rejected depends mostly on the way the null hypothesis is phrased, and that no systematic relationship seems to exist.
Year of publication:
1997
Authors: Kramer, Walter ; Runde, Ralf
Published in:
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 22.1997, 4, p. 637-641
Publisher: Department of Economics and Finance Research and Teaching
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Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005166620
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