The extended Friday the 13th Effect in the US stock returns

The classical Friday the 13th Effect refers to a calendar anomaly of financial markets which is generated by the fear of bad luck shared by the superstitious investors. As a result of their behavior, the returns from the supposed unlucky day of Friday the 13th are significant lower than those from the other Fridays. The superstition could also affect the returns from the trading days there are adjacent to Friday the 13th. In order to avoid the bad luck, some investors sell their stocks a trading day before and their transactions lead to a fall of the prices. Those who are reluctant to buy stocks on Friday the 13th delay such transactions to the next trading day causing prices to rise. In time, the knowledge about this pattern could induce significant changes in investors’ behavior, even to those that are not superstitious. Once become aware that one trading day before Friday the 13th the stock prices are usually low, many investors would prefer to sell two or three trading days before. There also were investors that would buy stocks not one trading day after Friday the 13th, when the prices are expected to be high, but two or three trading days after. Other investors could exploit the opportunities to buy cheap on Friday the 13th or one trading day before or to sell high one trading day after and their transactions could attenuate the abnormal returns from these days. In such ways the classical form of Friday the 13th Effect could be replaced by an extended form which consists in abnormal returns for a specific time interval that starts some trading days before the supposed unlucky day and ends some trading days after. This paper explores the behavior of the stock returns of 42 companies, from seven sectors of the United States economy, in the period January 2010 – March 2019, for a time interval that starts three trading days before Friday the 13th and ends three trading days after. The results indicate, for many of them, significant low returns in some trading days before Friday the 13th and/or significant ...