The Effect of Air Pollution on Investor Behavior: Evidence from the S&P 500
- Paper
- Oct, 2016
- #AirPollution
We provide detailed empirical evidence of a direct effect of air pollution on the efficient operation of the New York Stock Exchange, linking short-term variations in fine particula...
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Stock market returns are lower on polluted days. "This estimate indicates that a one unit increase in PM2.5 decreases the daily percentage returns by 1.7%. Put differently, a one standard deviation increase in PM2.5 decreases the daily percentage returns by 11.9%, a substantial effect on daily NYSE returns." Hayes et al 2016.