Make hay while the sun shines, the saying goes, so it's no mystery that farmers are cautious about cutting their crop under cloudy skies. In the same way, market makers on the floor of the New York Stock Exchange are more averse to risk on overcast days.

That's the finding of Ning Zhu, an assistant professor of finance at the University of California, Davis, and William Goetzmann, professor of finance and management studies at Yale University's School of Management.

While other researchers have documented the effect of weather on stock returns, Zhu and Goetzmann's study has rained on that parade. The pair have debunked the myth that the weather has a significant effect on investors' decisions to buy or sell stocks.

However, they did find that the spread between bid and ask prices for the NYSE stocks in the Standard & Poors 100 widened on cloudy days. The difference in bid-ask price can be twice as big on cloudy days as it is on sunny days, says Zhu of the Graduate School of Management at UC Davis.

The study used weather data and a database of individual investor accounts to examine the weather effects on traders. Their analysis of the trading activity in five major U.S. cities -- New York, Los Angeles, San Francisco, Chicago and Philadelphia -- over a six-year period found virtually no difference in individuals' propensity to buy or sell equities on cloudy days as opposed to sunny days.

The professors suggest that market makers -- who make money by buying low from one investor and selling high to another -- become less active or more averse to risk and that this, in turn, affects market prices.

"Perhaps market makers are more apt to depart the city early to beat the rush out of town on rainy days," Zhu and Goetzmann suggest with tongue somewhat in cheek.

Their study, "Rain or Shine: Where Is the Weather Effect?" was among five nominated for the Best Paper Award at the European Finance Association summit.