Date of Award

2016

Degree Type

Thesis

Degree Name

Master of Science (MS)

Department

Economics and Finance

First Advisor

Tyler J. Brough

Abstract

This paper looks at the 17 years leading up to Martin Luther King Jr. day becoming a non-traded holiday and the 17 years since to see if this exogenous shock to the market resulted in abnormal rates of return on the day before the holiday (known as the pre-holiday effect). I also look to see if evidence of abnormal returns still exists before Christmas and July 4th during the same time period. I used daily data on the equally-weighted universe of stocks, the value-weighted universe of stocks, and the S&P 500. I find that while there is some evidence of pre-Christmas abnormal rates of return, there is no evidence of such anomalies before July 4th. My results also show that returns do not change around the time when Martin Luther King Jr. Day became a non-traded holiday.

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