Everybody likes shopping, including the US capital market

Mahmoud Qadan, David Y. Aharon and Gil Cohen

Physica A: Statistical Mechanics and its Applications, 2020, vol. 551, issue C

Abstract: In this study, we investigate whether Black Fridays are associated with abnormal returns. We find that significant abnormal returns are evident in the main Canadian and US stock indices, as well as in several economic sectors. The Black Friday effect also seems to be size-related, as portfolio indices comprised of small stocks yield abnormally positive returns. The results remain persistent regardless of the sub-periods analyzed or the statistical methods and portfolios used. In explaining this anomaly, we consider rational as well as irrational explanations from psychology, decision-making, and marketing. Finally, investors can use simple strategies that take advantage of the apparent market inefficiencies documented in this study.

Keywords: Abnormal returns; Black Friday; Market anomalies; Mood; Sentiment (search for similar items in EconPapers)
Date: 2020
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:phsmap:v:551:y:2020:i:c:s0378437120300224

DOI: 10.1016/j.physa.2020.124173

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