What is the Friday effect

What is the Friday effect
Investors tend to pay less attention to news on Fridays (weekend is near)—but some Friday news are paid attention to! See NPF, non-farm payroll
Therefore, they will tend to react with a delay to company news made on a Friday as compared with company news made on other workdays
That means: if the news is positive, the price will not increase immediately or will increase at a slower pace compared with increases on other workdays; if the news is negative, same will happen with a price decrease
Using data from Thomson Eikon, construct a portfolio of 10 Friday stocks and another portfolio of 10 non-Friday stocks
In the ‘Friday’ portfolio: identify five companies which during 2012 made at least one negative announcement on a Friday. Then identify five companies which during the same time period made at least one positive announcement on a Friday. Repeat the operation for the ‘non-Friday portfolio’. Identify five companies which made a negative or a positive announcement respectively in the same week or the week before, but not on a Friday. For both portfolios control for sector and company size. That means the two portfolios should be similar except for the Friday announcement.
In each portfolios, short the five negatives (i.e., the companies with a negative announcement) and long the five positives (i.e., the five companies with the positive announcement for ten shares each. Short and long them on the Monday immediately after the announcement was made.
Then develop two strategies for each portfolio: a short term and a long term one
In each portfolios, short the five negatives (i.e., the companies with a negative announcement) and long the five positives (i.e., the five companies with the positive announcement for ten shares each. Short and long them on the Monday immediately after the announcement was made.
Then develop two strategies for each portfolio: a short term and a long term one
Can you identify any Friday effects?
Discuss based on you findings.

Literature:
Della Vigna, Stefano and Joshua Pollett. 2009. ‘Investor Inattention and Friday Earnings Announcements’. Journal of Finance 64: 709-749.
Hirshleifer, David et al. 2009. ‘Driven to Distraction: Extraneous Events and Underreaction to Earnings News’. Journal of Finance 64/5: 2289-2325.
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