Vergin, Roger; McGinnis, John - In: Applied Financial Economics 9 (1999) 5, pp. 477-482
Earlier researchers found excess stock market returns in the United States on the days before holiday market closings, ranging from 6 to 27 times as large as returns on other days, as measured by a variety of indices and over periods up to 90 years. We show that, in the ten years from 1987 to...