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Firm size and the pre- holiday effect in New Zealand

Cao, X.L. and Premachandra, I.M. and Bhabra, G.S. and Tang, Yih P. (2009) Firm size and the pre- holiday effect in New Zealand. International Research Journal of Finance and Economics , 32 . pp. 171-187. ISSN 1450-2887

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    Abstract

    Using a sample spanning four decades, we document that the pre-holiday effect, one of the most common of the calendar effect anomalies, still exists in the New Zealand market. Contrary to international evidence, the effect appears to have increased over time. Moreover, we find that this effect is inversely related to firm size with the entire effect limited only to small firms, with no pre-holiday price patterns being observed for medium to large firms. The existence of this pre-holiday effect seems to be mainly driven by factors relevant to New Zealand. A search for possible reasons for the persistence of the effect points primarily towards the illiquidity of smaller stocks and the reluctance of small investors to buy prior to major market closures.

    Item Type: Journal Article
    Subjects: H Social Sciences > HG Finance
    Divisions: Faculty of Business and Economics (FBE) > School of Accounting and Finance
    Depositing User: Yih Tang
    Date Deposited: 13 Aug 2014 14:31
    Last Modified: 13 Aug 2014 14:31
    URI: http://repository.usp.ac.fj/id/eprint/7566
    UNSPECIFIED

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