Suchergebnisse

The patterns of daily returns in over‐the‐counter (OTC) stocks are examined to determine if a holiday effect exists in the OTC market. For the sample period of 1973–1989, test results provide evidence of unusually high returns on pre‐holiday trading days and unusually low returns on post‐holiday trading days in the OTC market. Additional analyses indicate that other documented calendar anomalies do not cause the pre‐holiday effect, but the day‐of‐the‐week effect apparently drives the post‐holiday effect.