The daylight saving time anomaly in relation to firms targeted for mergers

Siganos, Antonios

Abstract

This paper finds evidence that daylight saving time changes influence the decision-making of investors when trading in firms targeted for mergers. We find that investors who face imbalances in their circadian cycle generate more positive abnormal stock returns upon the announcement of target firms. This result holds within a large number of robustness tests. Target firms also experience more pronounced stock return volatility in response to their merger announcements the first trading day after clock changes. Overall, these results seem to indicate that investors may overreact to available information when experiencing imbalances in their circadian cycle.

Citation

Siganos, A. (2019). The daylight saving time anomaly in relation to firms targeted for mergers. Journal of Banking and Finance, 105, 36-43. https://doi.org/10.1016/j.jbankfin.2019.05.014

• Journal Article Type: Article
• Acceptance Date: May 18, 2019
• Online Publication Date: May 19, 2019
• Publication Date: 2019-08
• Deposit Date: Jul 6, 2021
• Journal: Journal of Banking & Finance
• Print ISSN: 0378-4266
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 105
• Pages: 36-43
• DOI: https://doi.org/10.1016/j.jbankfin.2019.05.014
• Keywords: Daylight saving time changes, Circadian cycle, Merger and acquisition, Target firms, Stock price efficiency
• Public URL: http://researchrepository.napier.ac.uk/Output/2785030