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Are Friday announcements special? Overcoming selection bias

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  • Michaely, Roni
  • Rubin, Amir
  • Vedrashko, Alexander

Abstract

We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, 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. The method introduced here is applicable to other studies in which an exogenous factor influencing firm performance can actually be associated with firm characteristics.

Suggested Citation

  • Michaely, Roni & Rubin, Amir & Vedrashko, Alexander, 2016. "Are Friday announcements special? Overcoming selection bias," Journal of Financial Economics, Elsevier, vol. 122(1), pages 65-85.
  • Handle: RePEc:eee:jfinec:v:122:y:2016:i:1:p:65-85
    DOI: 10.1016/j.jfineco.2016.05.006
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    Cited by:

    1. Michaely, Roni & Rubin, Amir & Vedrashko, Alexander, 2016. "Further evidence on the strategic timing of earnings news: Joint analysis of weekdays and times of day," Journal of Accounting and Economics, Elsevier, vol. 62(1), pages 24-45.
    2. repec:eee:jbfina:v:82:y:2017:i:c:p:59-79 is not listed on IDEAS

    More about this item

    Keywords

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

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

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