The daylight saving time anomaly in relation to firms targeted for mergers

Antonios Siganos

Journal of Banking & Finance, 2019, vol. 105, issue C, 36-43

Abstract: This paper finds evidence that daylight saving time changes influence the decision-making of investors when trading in firms targeted for mergers. We find that investors who face imbalances in their circadian cycle generate more positive abnormal stock returns upon the announcement of target firms. This result holds within a large number of robustness tests. Target firms also experience more pronounced stock return volatility in response to their merger announcements the first trading day after clock changes. Overall, these results seem to indicate that investors may overreact to available information when experiencing imbalances in their circadian cycle.

Keywords: Daylight saving time changes; Circadian cycle; Merger and acquisition; Target firms; Stock price efficiency (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:105:y:2019:i:c:p:36-43

DOI: 10.1016/j.jbankfin.2019.05.014

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