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)

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.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Siganos, Professor 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: 0378-4266
• 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