TY - JOUR T1 - On Structural Changes in the Holiday Effect JF - The Journal of Wealth Management SP - 98 LP - 105 DO - 10.3905/jwm.2019.21.4.098 VL - 21 IS - 4 AU - Russell P. Robins AU - Geoffrey Peter Smith Y1 - 2019/01/31 UR - https://pm-research.com/content/21/4/98.abstract N2 - From 1926 to 2016, the average stock return on the day before holiday market closings is up to 15 times the average return on all the other days of the year. We study whether this holiday effect is contingent on the subperiod over which it is estimated and locate the critical break dates that delineate each subperiod. We find the holiday effect is critically dependent on the sample period over which it is estimated and that there is no statistically consistent set of results in each subperiod. Nevertheless, the holiday effect is statistically significant in the CRSP value-weight stock market portfolio and in the low-size stock portfolio in every subperiod from 1926 to 2016.TOPICS: Security analysis and valuation, portfolio construction, performance measurement ER -