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Stats › Saisonnalité et calendrier › Pre-holiday returns

The pre-holiday premium became a small-firm effect and vanished in large caps after 1990

Equal weighted|still significant1963 to 1982: 0.49%1983 to 2019: 0.37%0.37%Value weighted|loses significance1963 to 1982: 0.37%1983 to 2019: 0.14%0.14%1963 to 19821983 to 2019

Mean return on the trading day before eight US holidays, CRSP indices. The equal-weighted effect survives out of sample with a difference t statistic of 6.76. The value-weighted effect falls to a difference t statistic of 1.92 and its regression coefficient is insignificant once weekend and turn-of-year effects are controlled.

The day before a US holiday returned 0.49% equal-weighted and 0.37% value-weighted over the original 1963 to 1982 sample. Out of sample from 1983 the equal-weighted effect holds at 0.37% while the value-weighted version loses significance once other calendar effects are controlled.

0.49%Equal-weighted pre-holiday return, 1963 to 1982, t = 9.12
0.37%Equal-weighted pre-holiday return, 1983 to 2019, difference t = 6.76
0.14%Value-weighted pre-holiday return, 1983 to 2019, difference t = 1.92
0.11%Value-weighted pre-holiday mean, 1990 to 2019, t = 1.19

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