Holiday Effects and Stock Returns: Further Evidence
发现美国三大股市（NYSE、AMEX、NASDAQ）以及英国和日本股市在节前交易日均有异常高回报，且各国假日效应相互独立，不同于一月效应或周末效应，小公司效应在节前并不显著。
This paper provides further evidence of the holiday effect in stock returns and additional insight into the effect. This paper reports abnormally high returns on the trading day before holidays in all three of the major stock markets in the U.S.: the NYSE, AMEX, and NASDAQ. The holiday effect is also present in the U.K. and Japanese stock markets, even though each country has different holidays and institutional arrangements. This study finds that the holiday effects in the U.K. and Japanese stock markets are independent of the holiday effect in the U.S. stock market. Unlike the other seasonal patterns in stock returns, such as January and weekend effects, this investigation of size decile portfolios shows that the size effect is not present in mean returns on preholidays.