Abstract:
The Weather Effect, where stock returns are affected by investors as a result of weatherinduced
mood changes, has been found on various stock exchanges. Pizulito and
Roncone (2016) argued that The Weather Effect could be a profitable market strategy.
This research report investigated the usefulness of this phenomenon for predicting future
returns on the JSE and thereby creating an investment style, through the use of the style
engine built by Muller and Ward (2013).
The research results revealed that the influence of the weather on stock returns is weak
at best and cannot be used as an investment style. Previous concerns, as raised by Kim
(2017) regarding data mining in providing evidence of The Weather Effect has been
confirmed by this study