Critical Finance Review > Vol 13 > Issue 3-4

The Pre-Holiday Premium of Ariel (1990) Has Largely Become A Small-Firm Effect Out of Sample

Kuan-Cheng Ko, National Chi Nan University, Taiwan, kcko@ncnu.edu.tw , Nien-Tzu Yang, National United University, Taiwan, nanzy@nuu.edu.tw
 
Suggested Citation
Kuan-Cheng Ko and Nien-Tzu Yang (2024), "The Pre-Holiday Premium of Ariel (1990) Has Largely Become A Small-Firm Effect Out of Sample", Critical Finance Review: Vol. 13: No. 3-4, pp 531-538. http://dx.doi.org/10.1561/104.00000111

Publication Date: 12 Aug 2024
© 2024 Kuan-Cheng Ko and Nien-Tzu Yang
 
Subjects
 
Keywords
G12G14
Pre-holiday effectsStock returnsSeasonality
 

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In this article:
1. Data 
2. Replication and Out-of-Sample Extensions of Ariel (1990) 
References 

Abstract

Arial (1990) showed that the average returns of U.S. market indices on trading days prior to holidays are 9 to 14 times higher, a phenomenon that was independent of other calendar effects and the small-firm effect. We first confirm his results. Extending the sample to 1983 to 2019, we find that the pre-holiday effect now exists only among small firms. For large firms, the differences in returns between pre-holidays and non-pre-holidays have become insignificant, and especially after 1990.

DOI:10.1561/104.00000111