High Stock Returns before Holidays: Existence and Evidence on Possible Causes

High Stock Returns before Holidays: Existence and Evidence on Possible Causes ABSTRACT On the trading day prior to holidays, stocks advance with disproportionate frequency and show high mean returns averaging nine to fourteen times the mean return for the remaining days of the year. Over one third of the total return accruing to the market portfolio over the 1963–1982 period was earned on the eight trading days which each year fall before holiday market closings. Examination of hourly pre‐holiday stock returns reveals high returns throughout the day. Pre‐holiday stock returns in the post‐test 1983–1986 period are also examined. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

High Stock Returns before Holidays: Existence and Evidence on Possible Causes

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Publisher
Wiley Subscription Services, Inc., A Wiley Company
Copyright
1990 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
D.O.I.
10.1111/j.1540-6261.1990.tb03731.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT On the trading day prior to holidays, stocks advance with disproportionate frequency and show high mean returns averaging nine to fourteen times the mean return for the remaining days of the year. Over one third of the total return accruing to the market portfolio over the 1963–1982 period was earned on the eight trading days which each year fall before holiday market closings. Examination of hourly pre‐holiday stock returns reveals high returns throughout the day. Pre‐holiday stock returns in the post‐test 1983–1986 period are also examined.

Journal

The Journal of FinanceWiley

Published: Dec 1, 1990

References

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