We try to replicate the findings in Saunders (1993) that stock prices are "systematically affected by local weather." Using German data, we find that whether or not the null hypothesis of no relationship can he rejected depends mostly on the way the null hypothesis is phrased, and that no...

We investigate various distributional properties of German stock returns, like serial correlation, the existence of higher moments and calendar effects, with a focus on the robustness of various empirical measures to a nonstandard distribution of the returns. We exhibit the well known Monday...

We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from "normal" variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data sets...

This note considers the small sample bias of the empirical variances of observed and ex-post-rational prices of financial assets, and shows that this can be much more severe than has previously been thought.

We give a simple sufficient condition for consistency of the standard OLS-based estimate of the disturbance variance in the linear regression model with autocorrelated disturbances.