The Pre-Holiday Premium of Ariel (1990) Has Largely Become A Small-Firm Effect Out of Sample

Kuan-Cheng Ko and Nien-Tzu Yang

Critical Finance Review, 2024, vol. 13, issue 3-4, 531-538

Abstract: Arial (1990) showed that the average returns of U.S. market indices on trading days prior to holidays are 9 to 14 times higher, a phenomenon that was independent of other calendar effects and the small-firm effect. We first confirm his results. Extending the sample to 1983 to 2019, we find that the pre-holiday effect now exists only among small firms. For large firms, the differences in returns between pre-holidays and non-pre-holidays have become insignificant, and especially after 1990.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.1561/104.00000111 (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:now:jnlcfr:104.00000111

Access Statistics for this article

More articles in Critical Finance Review from now publishers
Bibliographic data for series maintained by Lucy Wiseman ().