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The preholiday corporate announcement effect

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  • Autore, Don M.
  • Jiang, Danling

Abstract

We find that investors react more favorably to corporate announcements of share repurchases, SEOs, earnings, dividend changes, and acquisitions if the announcement is made immediately prior to or on holidays. These announcements are associated with more positive reactions for favorable events and less negative reactions for unfavorable events. This effect is robust to controls for market conditions and a selection bias, is accompanied by subsequent reversals, and is present in several international markets. Our findings suggest that predictable individual mood changes can cause biases in market reactions to firm-specific news.

Suggested Citation

  • Autore, Don M. & Jiang, Danling, 2019. "The preholiday corporate announcement effect," Journal of Financial Markets, Elsevier, vol. 45(C), pages 61-82.
    • Handle: RePEc:eee:finmar:v:45:y:2019:i:c:p:61-82
    DOI: 10.1016/j.finmar.2019.06.004
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    More about this item

    Keywords

    Corporate announcements; Market reaction; Preholiday effect; Mood; Market efficiency;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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