Length of days and stock returns

This thesis examines the effect of the length of days on stock returns in 24 countries spread over the Northern and Southern Hemisphere. It should be seen as an extension to the research conducted by Kamstra et al. (2003). I do not find a clear, market wide effect of the length of days on stock returns, neither is it stronger pronounced in countries that have larger deviation in lengths of days. The effect of the length of days does not differ much in summer or winter and can be both positive and negative. This research shows that temperature can have an effect on stock returns, but contradictory to the expectations (Hirshleifer & Shumway, 2003), this effect is often negative.