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作者:Aragon, George O.1 george.aragon@asu.edu
Dieckmann, Stephan2 sdieckma@wharton.upenn.edu.
来源:Journal of Empirical Finance; Sep2011, Vol. 18 Issue 4, p570-584, 15p.
文献类型:Article.
主题语:*STOCKS (Finance)
*STOCK exchanges
*RATE of return
*DOW Jones industrial average
*PERFORMANCE evaluation
*DECISION making
*CAPITAL assets pricing model.
NAICS/Industry Codes :523210 Securities and Commodity Exchanges.
摘要:Abstract: 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 −10 basis points. Our findings suggest that millenary milestones of the DJIA play a role in some investors'' decision making. [Copyright &y& Elsevier].
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作者单位:1W.P. Carey School of Business at Arizona State University, Tempe, AZ 85287-3906, United States
2Wharton School at University of Pennsylvania, Philadelphia, PA 19104-6367, United States.
ISSN:09275398.
DOI:10.1016/j.jempfin.2011.05.010.
入藏编号:65044361.
数据库: Business Source Premier.