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,...
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| Veröffentlicht in: | Applied financial economics 1999-10, Vol.9 (5), p.477-482 |
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| container_end_page | 482 |
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| container_issue | 5 |
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| container_title | Applied financial economics |
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| creator | VERGIN, ROGER C. MCGINNIS, JOHN |
| description | 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. |
| doi_str_mv | 10.1080/096031099332131 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0960-3107 |
| ispartof | Applied financial economics, 1999-10, Vol.9 (5), p.477-482 |
| issn | 0960-3107 1466-4305 |
| language | eng |
| recordid | cdi_proquest_journals_197178717 |
| source | RePEc; Business Source Complete; Taylor & Francis |
| subjects | Capital market Holidays Holidays & special occasions Portfolio management Rates of return Securities markets Small and medium sized enterprises Statistical analysis Stock exchange Stock returns Studies |
| title | Revisiting the Holiday Effect: is it on holiday? |
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