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Don't lose sleep on it: a re-examination of the daylight savings time anomaly

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A recent study finds evidence of a new financial market anomaly linking daylight savings time changes with market returns - spring and fall daylight savings time weekends are typically followed by large negative returns - and that these returns are significantly lower than regular weekend average returns. The present study finds that neither the consistency nor the magnitude and statistical significance claimed for this anomaly survives serious scrutiny.

Document Type: Research Article


Affiliations: 1: Department of Accounting and Finance The University of North Florida 4567 St. Johns Bluff Road South Jacksonville FL 32224-2675 USA 2: Department of Economics University of North Carolina at Charlotte Charlotte North Carolina 28223 USA

Publication date: 2004-03-15

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