IDEAS home Printed from https://ideas.repec.org/a/now/jnlcfr/104.00000111.html
   My bibliography  Save this article

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

Author

Listed:
  • Kuan-Cheng Ko
  • Nien-Tzu Yang

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.

Suggested Citation

  • Kuan-Cheng Ko & Nien-Tzu Yang, 2024. "The Pre-Holiday Premium of Ariel (1990) Has Largely Become A Small-Firm Effect Out of Sample," Critical Finance Review, now publishers, vol. 13(3-4), pages 531-538, August.
    • Handle: RePEc:now:jnlcfr:104.00000111
    DOI: 10.1561/104.00000111
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1561/104.00000111
    Download Restriction: no
    File URL: https://libkey.io/10.1561/104.00000111?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:now:jnlcfr:104.00000111. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lucy Wiseman (email available below). General contact details of provider: http://www.nowpublishers.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.