This paper investigates the relationship between morning sunshine at stock exchanges and stock returns, examining 26 international stock exchanges from 1982 to 1997. The authors find that sunshine is strongly and significantly correlated with daily stock returns, while rain and snow are not. The findings suggest that sunny days lead to higher stock returns, which may be due to investors' improved mood and more optimistic outlook. Despite the modest gains, the study provides evidence that psychological biases can influence stock returns, challenging the fully rational price-setting assumption. The results are robust across various regression specifications and control for seasonal and other weather conditions. The study concludes that while the sunshine effect is not a risk-free arbitrage opportunity, it can modestly improve portfolio Sharpe ratios, suggesting that investors can benefit from weather-based trading strategies.This paper investigates the relationship between morning sunshine at stock exchanges and stock returns, examining 26 international stock exchanges from 1982 to 1997. The authors find that sunshine is strongly and significantly correlated with daily stock returns, while rain and snow are not. The findings suggest that sunny days lead to higher stock returns, which may be due to investors' improved mood and more optimistic outlook. Despite the modest gains, the study provides evidence that psychological biases can influence stock returns, challenging the fully rational price-setting assumption. The results are robust across various regression specifications and control for seasonal and other weather conditions. The study concludes that while the sunshine effect is not a risk-free arbitrage opportunity, it can modestly improve portfolio Sharpe ratios, suggesting that investors can benefit from weather-based trading strategies.