City University London - Sir John Cass Business School; Rice University - Jesse H. Jones Graduate School of Business
Andrew J. Leone
University of Miami
University of Miami - Department of Accounting
Wake Forest University
January 5, 2009
Many firms define their fiscal quarters as 13-week periods so that each fiscal year contains 52 weeks, which leaves out one or two day(s) a year. To compensate, one extra week is added every fifth or sixth year and, consequently, one quarter therein comprises 14 weeks. We find evidence of predictable forecast errors and stock returns in 14-week quarters, suggesting that analysts and investors do not, on average, adjust their expectations for the extra week. The ease with which 14-week quarters can be predicted, and expectations adjusted, suggests a surprising lack of effort on the part of analysts and investors.
Number of Pages in PDF File: 50
Keywords: Market Efficiency, Analyst
JEL Classification: G14, G24, G29, M41
Date posted: January 16, 2009 ; Last revised: January 9, 2011
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