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Revisiting the Holiday Effect: is it on holiday?

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  • Roger Vergin
  • John McGinnis

Abstract

Earlier researchers found excess stock market returns in the United States on the days before holiday market closings, ranging from 6 to 27 times as large as returns on other days, as measured by a variety of indices and over periods up to 90 years. We show that, in the ten years from 1987 to 1996, the excess holiday returns have disappeared for large firms and have substantially diminished for small firms.

Suggested Citation

  • Roger Vergin & John McGinnis, 1999. "Revisiting the Holiday Effect: is it on holiday?," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 477-482.
    • Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:477-482
    DOI: 10.1080/096031099332131
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    References listed on IDEAS

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    1. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
    2. Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(1), pages 145-157, March.
    3. Ariel, Robert A, 1990. "High Stock Returns before Holidays: Existence and Evidence on Possible Causes," Journal of Finance, American Finance Association, vol. 45(5), pages 1611-1626, December.
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