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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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    12. Fenghua Wen & Yujie Yuan & Wei‐Xing Zhou, 2021. "Cross‐shareholding networks and stock price synchronicity: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 914-948, January.
    13. Larelle Chapple & Lien Duong & Thu Phuong Truong, 2021. "Are Friday announcements special in a continuous disclosure environment?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2031-2067, April.
    14. Boubaker, Sabri & Clark, Ephraim & Mefteh-Wali, Salma, 2020. "Does the CEO elite education affect firm hedging policies?," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 340-354.
    15. Marc Zenzius & Christian Flore & Dirk Schiereck, 2022. "Tough times for seasoned equity offerings: performance during the COVID pandemic," Journal of Business Economics, Springer, vol. 92(9), pages 1491-1510, November.
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    17. He, Wen & Li, Yan, 2020. "Comparing with the average: Reference points and market reactions to above-average earnings surprises," Journal of Banking & Finance, Elsevier, vol. 117(C).
    18. José Emilio Farinós & Begoña Herrero & Miguel Ángel Latorre, 2021. "Investor Inattention to All-Cash Acquisition Announcements: A Joint Day-Time Analysis in the Spanish Market," Sustainability, MDPI, vol. 13(2), pages 1-22, January.
    19. Cheema, Arbab K. & Eshraghi, Arman & Wang, Qingwei, 2023. "Macroeconomic news and price synchronicity," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 390-412.
    20. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    21. Chen, Linda H. & Jiang, George J. & Zhu, Kevin X., 2018. "Total attention: The effect of macroeconomic news on market reaction to earnings news," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 142-156.
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    More about this item

    Keywords

    Inattention; Friday; Selection bias; Corporate announcements; Market reaction;
    All these keywords.

    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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