After a series of papers has provided—partially ambiguous—results on the impact of weather
variables on stock (index) returns, this article studies the impact of weather on a wide variety
of financial market instruments, namely "risk-free" interest rates, the US corporate bond
market, stock returns, stock index returns and the VIX volatility index. First, we construct a
model that combines asset pricing and results from psychology to show how weather variables
can affect asset prices in different market segments via mood. Second, in our empirical analysis
we use several weather variables from the National Climatic Data Center (NCDC) and
control variables motivated by economic theory. Applying various econometric techniques and
using different market segments (motivated by differences in the risk level and institutional
differences) allows to give a more detailed picture on the impact of weather on financial market
prices. We demonstrate that on none of the market segments analyzed the weather has any
significant impact.