Revisiting the Holiday Effect: is it on holiday?

Earlier researchers found excess stock market returns in the United States on the days before holiday market closings, ranging from 6 to 27 times as large as returns on other days, as measured by a variety of indices and over periods up to 90 years. We show that, in the ten years from 1987 to 1996, the excess holiday returns have disappeared for large firms and have substantially diminished for small firms.