The Holiday Anomaly: An Investigation of Firm Size versus Share Price Effects

Paul Brockman and David Michayluk (david.michayluk@uts.edu.au)
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Paul Brockman: Hong Kong Polytechnic University

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: The holiday effect is one of the oldest and most consistent of all seasonal anomalies. It is responsible for 30 percent to 50 percent of the total return on the market and exhibits above average mean returns coupled with below average variances (Lakonishok and Smidt, 1988; Ariel 1990). Although firm size has been associated with the weekend, January, and holiday effects, recent research suggests that share price subsumes the firm size effect (Bhardwaj and Brooks, 1992a). The primary objective of this study is to determine whether the holiday effect is a share price or firm size phenomenon. The results confirm the growing evidence that share price is a fundamental variable underlying stock return anomalies. This research increases our understanding of capital market behavior and reduces the range of probable explanations for the holiday effect, as well as for other stock return anomalies.

Pages: 13 pages
Date: 1997-01-01
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Citations: View citations in EconPapers (14)

Published in: Brockman, P. and Michayluck, D., 1997, "The Holiday Anomaly: An Investigation of Firm Size versus Share Price Effects", Quarterly Journal of Business and Economics, 36(3), 23-35.

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