Seasonality in Outliers of Daily Stock Returns: A Tail that Wags the Dog?

Galai, Dan; Kedar‐Levy, Haim; Schreiber, Ben Z.

doi:10.2139/ssrn.426080

Cited by 10 publications

(12 citation statements)

References 14 publications

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“…Maberly and Pierce (2003) also examine the impact of outliers on the Halloween effect in Japanese equity markets. Galai, Kedar-Levy, and Schreiber (2008) also posit a relation between the Halloween effect and outliers. In contrast to the results of Maberly and Pierce (2004), Galai et al (2008) find that, in daily S&P 500 returns, the Halloween effect is significant only after controlling for outliers.…”

Section: Literature Reviewmentioning

confidence: 92%

“…Galai, Kedar-Levy, and Schreiber (2008) also posit a relation between the Halloween effect and outliers. In contrast to the results of Maberly and Pierce (2004), Galai et al (2008) find that, in daily S&P 500 returns, the Halloween effect is significant only after controlling for outliers. This difference in findings might be due to analyzing daily returns versus monthly, the different time period analyzed (1980-2002 versus 1970-1998), or even the dropping of return observations from the sample.…”

Section: Literature Reviewmentioning

confidence: 92%

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The Halloween effect: Trick or treat?

Haggard

Witte

2010

International Review of Financial Analysis

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Section: Literature Reviewmentioning

confidence: 92%

Section: Literature Reviewmentioning

confidence: 92%

The Halloween effect: Trick or treat?

Haggard

Witte

2010

International Review of Financial Analysis

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“…Galai et al (2008) argue that most of the traditional Monday effect is driven by extreme values in the data. When they examine S&P 500 index returns controlling for outliers, the Monday effect turns positive and significant.…”

Section: Post-2003 Workmentioning

confidence: 99%

A brief history and recent developments in day‐of‐the‐week effect literature

Philpot

Peterson²

2011

Managerial Finance

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PurposeThe purpose of this paper is to provide a brief review of pre‐2003 work on the weekend effect and then discuss how recent selected work has extended our knowledge of the subject.Design/methodology/approachResults of recently published studies are organized and summarized by research question and outcomes.FindingsWhile early literature found a fairly consistent weekend effect, with positive returns on Fridays and negative returns on Mondays, more recent research shows the effect moving to other days, reversing or vanishing.Research limitations/implicationsWhile it is difficult to compare studies made across different time periods, the direction of present research gives insight into how markets are adjusting to the weekend effect anomaly.Practical implicationsInvestors may find it very hard to adequately identify a trading strategy based on current research.Originality/valueThis work conveniently synthesizes and presents current research findings from a variety of published sources.

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“…For example, Kim, Kim, and Ergun (2015) remove the top two outliers on opposite sides of the distribution and conclude that the distortions outliers cause can be large. Galai, Kedar-Levy, and Schreiber (2008) note that a relatively small number of daily return outliers, namely, 2.03% of the sample, severely affects the empirical estimation. To control for the effect of outliers, any observations of a credit rating change announcement accompanied by other news or events related to the company are excluded.…”

Section: Methodsmentioning

confidence: 99%

Impact of Credit Ratings on Stock Returns

Reddy¹,

Bosman²,

Mirza³

2019

BEMP

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This study investigates whether a change in credit ratings lead to a change in dailyexcess stock returns. The sample includes daily stock price data for US firms listedon the Standard & Poor’s 500 from January 2006 to December 2015. Firms’ excessstock returns are compared with the market in a 14-day window around credit ratingdowngrades and upgrades. Our results are asymmetric, that is, there is a significantreaction to credit ratings downgrades but not to upgrades. In addition, we report weakevidence of upgrades in credit ratings since the 2008 global credit crisis leading tosignificant changes in security prices.

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Seasonality in Outliers of Daily Stock Returns: A Tail that Wags the Dog?

Cited by 10 publications

References 14 publications

The Halloween effect: Trick or treat?

The Halloween effect: Trick or treat?

A brief history and recent developments in day‐of‐the‐week effect literature

Impact of Credit Ratings on Stock Returns

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