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

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  • Siganos, Antonios

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.

Suggested Citation

  • Siganos, Antonios, 2019. "The daylight saving time anomaly in relation to firms targeted for mergers," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 36-43.
    • Handle: RePEc:eee:jbfina:v:105:y:2019:i:c:p:36-43
    DOI: 10.1016/j.jbankfin.2019.05.014
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    More about this item

    Keywords

    Daylight saving time changes; Circadian cycle; Merger and acquisition; Target firms; Stock price efficiency;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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