School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 611731, China.
Int J Environ Res Public Health. 2021 Feb 19;18(4):2004. doi: 10.3390/ijerph18042004.
By linking stock returns with weather conditions from 2007 to 2019 in China, we study how firm-level stock returns react to extreme temperatures. Based on a multivariate ordinary least squares regression model with fixed effects, empirical results show that firm-level stock returns decrease with exposure to extreme temperatures. We further explore the heterogeneity in the temperature-return relation to enrich our understanding of the economic mechanism behind it. The impact of extreme temperatures on abnormal stock returns is more pronounced in smaller, younger, more volatile, less profitable firms and firms with more intangible assets. The results indicate that the investor mood likely plays a role in the extreme temperature effect. The impact of extreme temperatures holds after addressing a series of concerns. Overall, our paper provides additional firm-level evidence on the environment-induced mood effect in the stock market.
我们将 2007 年至 2019 年中国的股票收益与天气条件联系起来，研究了公司层面的股票收益如何对极端温度做出反应。基于带有固定效应的多元普通最小二乘回归模型，实证结果表明，公司层面的股票收益随极端温度的升高而下降。我们进一步探讨了温度-收益关系的异质性，以丰富我们对背后经济机制的理解。在规模较小、成立时间较短、波动性较大、盈利较低以及无形资产较多的公司中，极端温度对异常股票收益的影响更为显著。结果表明，投资者情绪可能在极端温度效应中发挥作用。在解决了一系列问题之后，极端温度的影响依然存在。总的来说，本文为股票市场中环境引发的情绪效应提供了额外的公司层面证据。
