Holidays Financial Anomalies

6 Pages Posted: 14 Dec 2017

See all articles by Yosef Bonaparte

Yosef Bonaparte

University of Colorado at Denver - Department of Finance

Date Written: December 12, 2017

Abstract

We introduce new financial calendar anomalies on post holidays as well as best and worst day of the year. We find that the excess return in the stock market abnormal returns post major holidays: Thanksgiving (Black Friday), Christmas and New Year. Furthermore, we analyze the best and worst day of the year to invest and find that December 30th and October 19th are the best and worst days in a calendar year to invest, respectively. Our results are robust as we account for time fixed effect. Collectively, our results suggests that stock market has abnormal return on post holidays.

Keywords: Financial anomalies, stock market performance, holidays, black Friday

JEL Classification: G10

Suggested Citation

Bonaparte, Yosef, Holidays Financial Anomalies (December 12, 2017). Available at SSRN: https://ssrn.com/abstract=3086783 or http://dx.doi.org/10.2139/ssrn.3086783

Yosef Bonaparte (Contact Author)

University of Colorado at Denver - Department of Finance ( email )

United States

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