TITLE

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

AUTHOR(S)
Higgins, Eric James; Howton, Shelly W.; Perfect, Steven B.
PUB. DATE
January 2000
SOURCE
Quarterly Journal of Business & Economics;Winter2000, Vol. 39 Issue 1, p57
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
3730692

 

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