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- Publisher Website: 10.1016/j.jfineco.2016.05.006
- Scopus: eid_2-s2.0-84973856181
- WOS: WOS:000384628300004
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Article: Are Friday announcements special? Overcoming selection bias
Title | Are Friday announcements special? Overcoming selection bias |
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Authors | |
Keywords | Corporate announcements Friday Inattention Market reaction Selection bias |
Issue Date | 2016 |
Citation | Journal of Financial Economics, 2016, v. 122, n. 1, p. 65-85 How to Cite? |
Abstract | We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, share repurchases, earnings, and mergers, which is seemingly consistent with the notion of investor inattention on Fridays. However, we show that these findings are an outcome of selection bias. Firms that make announcements on Fridays experience reduced market response on any weekday and have common unobserved characteristics across announcement types. After correcting for selection bias, there is no evidence that investors pay less attention to announcements made on Fridays. The method introduced here is applicable to other studies in which an exogenous factor influencing firm performance can actually be associated with firm characteristics. |
Persistent Identifier | http://hdl.handle.net/10722/326093 |
ISSN | 2022 Impact Factor: 8.9 2020 SCImago Journal Rankings: 11.673 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Michaely, Roni | - |
dc.contributor.author | Rubin, Amir | - |
dc.contributor.author | Vedrashko, Alexander | - |
dc.date.accessioned | 2023-03-09T09:57:58Z | - |
dc.date.available | 2023-03-09T09:57:58Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Journal of Financial Economics, 2016, v. 122, n. 1, p. 65-85 | - |
dc.identifier.issn | 0304-405X | - |
dc.identifier.uri | http://hdl.handle.net/10722/326093 | - |
dc.description.abstract | We report reduced market response to Friday announcements of dividend changes, seasoned equity offerings, share repurchases, earnings, and mergers, which is seemingly consistent with the notion of investor inattention on Fridays. However, we show that these findings are an outcome of selection bias. Firms that make announcements on Fridays experience reduced market response on any weekday and have common unobserved characteristics across announcement types. After correcting for selection bias, there is no evidence that investors pay less attention to announcements made on Fridays. The method introduced here is applicable to other studies in which an exogenous factor influencing firm performance can actually be associated with firm characteristics. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Financial Economics | - |
dc.subject | Corporate announcements | - |
dc.subject | Friday | - |
dc.subject | Inattention | - |
dc.subject | Market reaction | - |
dc.subject | Selection bias | - |
dc.title | Are Friday announcements special? Overcoming selection bias | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jfineco.2016.05.006 | - |
dc.identifier.scopus | eid_2-s2.0-84973856181 | - |
dc.identifier.volume | 122 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 65 | - |
dc.identifier.epage | 85 | - |
dc.identifier.isi | WOS:000384628300004 | - |