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My sister asked me this question and I keep thinking that water would conduct heat much faster than sand. Hence the energy transfer of heat across the lake does not allow it to heat up soon. Sand on the other hand is probably a bad conductor of heat and hence more heat energy is held up by each grain of sand.

But then with water there is also convection which perhaps plays a role.

I would like to see what the experts say. My thinking is quite informal.

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Convection is way more effective than conduction. They don't even come close. It's the lack of convection that causes sand to experience such wild temperature fluctuations. – Alan Rominger Sep 6 '12 at 21:55
up vote 2 down vote accepted

was taught that it has more to do with specific heat than with heat conduction. 1 gr of water requires 1 cal of heat to raise its temperature by 1 °C. By comparison, sand only takes about 0.2 cal to get the same effect. You can find some values of common substances here.

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I am marking this answer as correct, but please do take a look at the comment in the question above and the answer below as well. – vivekian2 Sep 8 '12 at 16:30

Another factor: Sun radiation penetrates much deeper in water than in sand, so it warms up a greater mass of water to a lesser temperature.

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