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 - Schools of Business
August 28, 2009
Many firms define their fiscal quarters as 13-week periods. For these firms each fiscal year contains 52 weeks, which leaves out one/two day(s) a year. To compensate, one extra week is added to every fifth/sixth year; consequently, one quarter therein comprises 14 weeks. We find evidence of predictable stock returns and forecast errors in 14-week quarters, which suggests that investors and analysts 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 investors and analysts.
Number of Pages in PDF File: 48
Keywords: analysts, market efficiency, fiscal year
JEL Classification: G14, G17, M4
Date posted: August 29, 2009
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