In this study, we investigate whether Black Fridays are associated with abnormal returns. We find that significant abnormal returns are evident in the main Canadian and US stock indices, as well as in several economic sectors. The Black Friday effect also seems to be size-related, as portfolio indices comprised of small stocks yield abnormally positive returns. The results remain persistent regardless of the sub-periods analyzed or the statistical methods and portfolios used. In explaining this anomaly, we consider rational as well as irrational explanations from psychology, decision-making, and marketing. Finally, investors can use simple strategies that take advantage of the apparent market inefficiencies documented in this study.
|Physica A: Statistical Mechanics and its Applications
|Published - 1 Aug 2020
Bibliographical notePublisher Copyright:
© 2020 Elsevier B.V.
- Abnormal returns
- Black Friday
- Market anomalies
ASJC Scopus subject areas
- Statistical and Nonlinear Physics
- Statistics and Probability