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High stock returns before holidays: existence and evidence on possible causes

Article Abstract:

On the trading day prior to holidays, stocks advance with disproportionate frequency and show high mean returns averaging nine to fourteen times the mean return for the remaining days of the year. Over one third of the total return accruing to the market portfolio over the 1963-1982 period was earned on the eight trading days which each year fall before holiday market closings. Examination of hourly pre-holiday stock returns reveals high returns throughout the day. Pre-holiday stock returns in the post-test 1983-1986 period are also examined. (Reprinted by permission of the publisher.)

Author: Ariel, Robert A.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1990
Economic aspects, Prices and rates, Stocks, Stock prices, Holidays, Financial research

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Personal income taxes and the January effect: small firm stock returns before the war revenue act of 1917: a note

Article Abstract:

The tax explanation of the January effect is tested through examination of small-firm stock returns prior to the War Revenue Act of 1917, with no evidence found of a turn-of-the-year effect. The work of previous researchers is extended on the subject to 1918 through 1929, in which period a January effect is found. (The January effect refers to the abnormally large returns earned by small-firm stocks in the initial days of January.)

Author: Schultz, Paul
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1985
Research, Taxation, Laws, regulations and rules, Corporate taxes, Tax administration and procedure, Tax administration, Tax research, Corporations, Income tax

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Subjects list: Analysis
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