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OPTIMAL INVESTMENT, GROWTH OPTIONS, AND SECURITY RETURNS

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OPTIMAL INVESTMENT, GROWTH OPTIONS, AND SECURITY RETURNS

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The large loss effect that we report reinforces the findings of Kamstra, Kramer, and Levi (2000), who document a stock market effect of similar magnitude in response to the daylight saving clock change. While Pinegar (2002) argues that the “daylight saving anomaly” is sensitive to outliers, our effect remains economically and statistically significant even after removing outliers in the data and applying a number of robustness checks. Another contribution of this paper is that we are able to go a long way towards addressing the main disadvantage of the event approach. Our sample of soccer matches exceeds 1,100 observations, and exhibits significant cross-sectional variation across nations. In...

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