Are Friday Announcements Special? Overcoming Selection Bias

Journal of Financial Economics (JFE), Forthcoming

American Finance Association 2016 San Francisco Meetings

52 Pages Posted: 21 Oct 2012 Last revised: 21 Apr 2016

See all articles by Roni Michaely

Roni Michaely

The University of Hong Kong; ECGI

Amir Rubin

Simon Fraser University (SFU) - Beedie School of Business; Interdisciplinary Center (IDC) Herzliyah

Alexander Vedrashko

Simon Fraser University - Beedie School of Business

Date Written: April 20, 2016

Abstract

We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, open-market share repurchases, earnings, and mergers, which is seemingly consistent with the notion of investor inattention on Fridays. However, we show that these findings are an outcome of selection bias. Firms that make announcements on Fridays experience reduced market response on any weekday and have common unobserved characteristics across announcement types. After correcting for selection bias, there is no evidence that investors pay less attention to announcements made on Fridays relative to other weekdays. The method introduced here is applicable to other studies in which an exogenous factor influencing firm performance can actually be associated with firm characteristics.

Keywords: Inattention; Friday; Selection bias; Corporate announcements; Market reaction

JEL Classification: G11, G14, G34, G35

Suggested Citation

Michaely, Roni and Rubin, Amir and Vedrashko, Alexander, Are Friday Announcements Special? Overcoming Selection Bias (April 20, 2016). Journal of Financial Economics (JFE), Forthcoming, American Finance Association 2016 San Francisco Meetings, Available at SSRN: https://ssrn.com/abstract=2164789 or http://dx.doi.org/10.2139/ssrn.2164789

Roni Michaely (Contact Author)

The University of Hong Kong ( email )

Pokfulam Road
Hong Kong, Pokfulam HK
China

ECGI ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Amir Rubin

Simon Fraser University (SFU) - Beedie School of Business ( email )

8888 University Drive
Burnaby, British Colombia V5A 1S6
Canada

Interdisciplinary Center (IDC) Herzliyah ( email )

P.O. Box 167
Herzliya, 46150
Israel

Alexander Vedrashko

Simon Fraser University - Beedie School of Business ( email )

Beedie School of Business
8888 University Dr.
Burnaby, British Columbia V5A1S6
Canada
778-782-3471 (Phone)

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