2015-08-12
Length of days and stock returns
Publication
Publication
Investigating the effect of the length of days on stock returns in 24 countries.
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.
| Additional Metadata | |
|---|---|
| Baillon, A. | |
| hdl.handle.net/2105/30409 | |
| Business Economics | |
| Organisation | Erasmus School of Economics |
|
Koenders, J. (2015, August 12). Length
of
days
and
stock
returns: Investigating
the
effect
of
the
length
of
days
on
stock
returns
in
24
countries.. Business Economics. Retrieved from http://hdl.handle.net/2105/30409 |
|
