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

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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.

Suggested Citation

  • Paul Brockman & David Michayluk, 1997. "The Holiday Anomaly: An Investigation of Firm Size versus Share Price Effects," Published Paper Series 1997-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:1997-1
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    Cited by:

    1. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, April.
    2. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.
    3. Andrey Kudryavtsev, 2018. "Holiday effect on stock price reactions to analyst recommendation revisions," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 507-521, December.
    4. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," FRB Atlanta Working Paper 2005-02, Federal Reserve Bank of Atlanta.
    5. Brian Lucey, 2005. "Are local or international influences responsible for the pre-holiday behaviour of Irish equities?," Applied Financial Economics, Taylor & Francis Journals, vol. 15(6), pages 381-389.
    6. Dimitrios Kourtidis & Željko Šević & Prodromos Chatzoglou, 2016. "Mood and stock returns: evidence from Greece," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(2), pages 242-258, May.
    7. Paulo M. Gama & Elisabete F. S. Vieira, 2013. "Another look at the holiday effect," Applied Financial Economics, Taylor & Francis Journals, vol. 23(20), pages 1623-1633, October.
    8. Andrey Kudryavtsev, 2019. "Holiday Effect on Large Stock Price Changes," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 633-660, November.
    9. Galor, Oded & Moav, Omer & Vollrath, Dietrich, 2003. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," CEPR Discussion Papers 3817, C.E.P.R. Discussion Papers.
    10. Müller, Gernot & Durand, Robert B. & Maller, Ross A., 2011. "The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 306-320, March.
    11. repec:rfb:journl:v:09:y:2017:i:2:p:007-026 is not listed on IDEAS
    12. Stauffer, Dietrich & Sornette, Didier, 1999. "Self-organized percolation model for stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 271(3), pages 496-506.
    13. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
    14. Andrey Kudryavtsev, 2017. ""I'll Think about it Tomorrow": Price Drifts Following Large Pre-Holiday Stock Price Moves," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 9(2), pages 043-062, December.

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