Stock market trading activity and returns around milestones
We study the relation between daily stock market trading activity and the Dow Jones Industrial Average's (DJIA) movement around millenary milestones--numbers that end in three zeros. We find aggregate turnover to be 5% lower when the DJIA level is less than 1% away from the nearest milestone. The effect emerges as the DJIA approaches a milestone from below, and is stronger for first-time milestones compared to subsequent passages. The aggregate price impact is large, such that daily stock returns show a negative abnormal performance of -Â 10 basis points. Our findings suggest that millenary milestones of the DJIA play a role in some investors' decision making.
Year of publication: |
2011
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Authors: | Aragon, George O. ; Dieckmann, Stephan |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 18.2011, 4, p. 570-584
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Publisher: |
Elsevier |
Keywords: | Trading volume Milestone effect Return predictability Asset pricing anomaly |
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