Everybody likes shopping, including the US capital market

Mahmoud Qadan, David Y. Aharon, Gil Cohen

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Article number124173
JournalPhysica A: Statistical Mechanics and its Applications
StatePublished - 1 Aug 2020

Bibliographical note

Publisher Copyright:
© 2020 Elsevier B.V.


  • Abnormal returns
  • Black Friday
  • Market anomalies
  • Mood
  • Sentiment

ASJC Scopus subject areas

  • Statistical and Nonlinear Physics
  • Statistics and Probability


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