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Stock market trading activity and returns around milestones

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  • Aragon, George O.
  • Dieckmann, Stephan
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    Abstract

    We study the relation between daily stock market trading activity and the Dow Jones Industrial Average's (DJIA) movement around millenary milestones--numbers that end in three zeros. We find aggregate turnover to be 5% lower when the DJIA level is less than 1% away from the nearest milestone. The effect emerges as the DJIA approaches a milestone from below, and is stronger for first-time milestones compared to subsequent passages. The aggregate price impact is large, such that daily stock returns show a negative abnormal performance of -Â 10 basis points. Our findings suggest that millenary milestones of the DJIA play a role in some investors' decision making.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 18 (2011)
    Issue (Month): 4 (September)
    Pages: 570-584

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    Handle: RePEc:eee:empfin:v:18:y:2011:i:4:p:570-584

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    Web page: http://www.elsevier.com/locate/jempfin

    Related research

    Keywords: Trading volume Milestone effect Return predictability Asset pricing anomaly;

    References

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