The persistent holiday effect: additional evidence

Paul Brockman and David Michayluk ()

Applied Economics Letters, 1998, vol. 5, issue 4, 205-209

Abstract: The holiday effect is one of the most perplexing of all seasonal anomalies. Based on evidence using pre-1987 equity returns, this anomaly has been shown to be responsible for somewhere between 30 to 50% of the total return on the market while exhibiting below average variances (Lakonishok and Smidt, 1988; Ariel, 1990). The purpose of this paper is to investigate and document the persistence of the holiday effect (or lack thereof) beyond the 1987 period for equities traded on the NYSE, AMEX, and NASDAQ exchanges. Has the holiday effect continued into the 1990s, or have efficient trading rules exploited the anomaly to the point where it no longer exists? The results provide additional evidence into the nature and potential causes of seasonal market anomalies.

Date: 1998
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DOI: 10.1080/135048598354825

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