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• W2910402021 abstract "We estimate the profitability of global index-level trading strategies formed on daily weather conditions across 49 countries. We use pre-market weather conditions (sunshine, wind, rain, snow, and temperature) and the statistical relationship between weather and returns to predict index returns each day. In the out-of-sample test for our 1993-2012 sample, a global weather-based hedge strategy produces a mean annual return of 15.2% compared to a mean world index return of 3.1%, corresponding to a Sharpe ratio of 0.462 relative to 0.005 for the world index. Our findings confirm that multiple weather conditions exert economically important impacts on stock returns around the globe." @default.
• W2910402021 created "2019-01-25" @default.
• W2910402021 creator A5015832217 @default.
• W2910402021 creator A5072879756 @default.
• W2910402021 date "2018-01-01" @default.
• W2910402021 modified "2023-09-23" @default.
• W2910402021 title "Are Weather-Based Trading Strategies Profitable?" @default.
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• W2910402021 doi "https://doi.org/10.2139/ssrn.3111467" @default.
• W2910402021 hasPublicationYear "2018" @default.
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