本文採用2010 年7 月至2015 年6 月臺灣上市公司資料，根據beta 值、規模、盈 餘股價比（E/P）三種指標形成高風險和低風險股票投資組合，計算高風險和低風險 投資組合的交易權重差額。使用四個天氣因子：氣溫、濕度、雲層量和日照率，分析 交易權重差額與天氣因子之間的關係，進而推論風險趨避程度的變化，並且檢驗天氣 的影響是否具季節差異。 實證結果顯示，四個天氣變數多與風險趨避程度呈現正向關係，氣溫的效果最為 一致，當氣溫提高時，市場交易高beta、小規模和高盈餘股價比股票的傾向降低，當 日照率提高時，市場交易小規模和高盈餘股價比股票的傾向降低，皆隱含風險趨避程 度提高。濕度和雲層量的效果比較不一致，在某些情況下，濕度、雲層量可能與風險 趨避程度呈現負向關係。其次，發現beta 值分組有最為明顯的季節效果，夏季時，氣 溫、濕度與風險趨避程度為正向關係，但在冬季時呈現負向關係。

Using samples of Taiwan listed companies during July 2010 to June 2015，we form high-risk and low-risk stock portfolios based on beta, size and earnings to price ratio (E/P). The relationship between weather factors and the trading weight difference of high-risk and low-risk portfolios is investigated, and its implication for changes of the degree of risk aversion is then explored. Four weather factors, including temperature, humidity, sunshine rate, and cloud cover are considered. Besides we examine whether the impacts of weather factors might vary across seasons. The empirical results show that in most circumstances weather factors exhibit positive relation with the degree of risk aversion. Temperature has the most consistent influence. As temperature increases, investors trade relatively less on the high beta, small size and high E/P portfolio; as sunshine rate increases, investors trade relatively less on the small size and high E/P portfolio. These findings imply a higher degree of risk aversion in association with higher temperature and sunshine rate. Humidity and cloud cover show the relatively inconsistent influences. In some scenarios these two weather factors are found to be negatively correlated with the degree of risk aversion. In addition, we find strong seasonal effect when portfolios are formed by beta. In summer, temperature and humidity have positive relationship with the degree of risk aversion. However the relationship becomes negative in winter.