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Abnormal returns and stock performance prior and after federal holidays

Author

Listed:
  • Nikolas L. Albertson
  • Heather L. R. Tierney
  • Jeffrey W. Cline
  • Daniel Boylan

Abstract

Using De Bondt and Thaler's abnormal returns model with data from the New York Stock Exchange from 2014 to 2024 and the Standard and Poor's 500 Index, this paper finds that statistically significant positive abnormal returns are possible with respect to certain U.S. federal holidays, which are Martin Luther King Jr. Day, Presidents' Day, and Thanksgiving. Each quartile of the New York Stock Exchange based on market capitalization also provides an opportunity for earning positive abnormal returns by targeting specific federal holidays. Further partitioning into the trading day before and the trading day after a federal holiday yields positive abnormal returns with respect to certain federal holidays.

Suggested Citation

  • Nikolas L. Albertson & Heather L. R. Tierney & Jeffrey W. Cline & Daniel Boylan, 2026. "Abnormal returns and stock performance prior and after federal holidays," Review of Financial Economics, John Wiley & Sons, vol. 44(1), January.
    • Handle: RePEc:wly:revfec:v:44:y:2026:i:1:n:e70018
    DOI: 10.1002/rfe.70018
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    References listed on IDEAS

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