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

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

[img] Text
186886.pdf - Accepted Version
Restricted to Repository staff only until 19 November 2020.



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.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Siganos, Dr Antonios
Authors: Siganos, A.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Journal of Banking and Finance
Publisher:Elsevier Ltd.
ISSN (Online):1872-6372
Published Online:19 May 2019
Copyright Holders:Copyright © 2019 Elsevier
First Published:First published in Journal of Banking and Finance 105:36-43
Publisher Policy:Reproduced in accordance with the copyright policy of the publisher

University Staff: Request a correction | Enlighten Editors: Update this record