The Impact of the Day of the Week on IPO Return Autocorrelation and Cross-Correlation

Higgins, Eric James; Howton, Shelly W.; Perfect, Steven B.
January 2000
Quarterly Journal of Business & Economics;Winter2000, Vol. 39 Issue 1, p57
Academic Journal
Two anomalies that generate continuing interest are the weekend effect and the underperformance of IPOs. Perfect and Peterson (1997) find that IPO returns are negative only on Monday and Tuesday, suggesting a related explanation for these two anomalies. We extend the work of Perfect and Peterson by examining the daily autocorrelation and cross-correlation patterns of IPO returns. We find evidence that IPO investors make buy and sell decisions on specific IPO securities based more on market returns the previous day than on returns to that security the previous day.


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