Abstract
We study the relation between daily stock market trading activity and the Dow Jones Industrial Average's (DJIA) movement around millenary milestones-numbers that end in three zeros. We find aggregate turnover to be 5% lower when the DJIA level is less than 1% away from the nearest milestone. The effect emerges as the DJIA approaches a milestone from below, and is stronger for first-time milestones compared to subsequent passages. The aggregate price impact is large, such that daily stock returns show a negative abnormal performance of ?. 10 basis points. Our findings suggest that millenary milestones of the DJIA play a role in some investors' decision making.
Original language | English (US) |
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Pages (from-to) | 570-584 |
Number of pages | 15 |
Journal | Journal of Empirical Finance |
Volume | 18 |
Issue number | 4 |
DOIs | |
State | Published - Sep 2011 |
Keywords
- Asset pricing anomaly
- Milestone effect
- Return predictability
- Trading volume
ASJC Scopus subject areas
- Finance
- Economics and Econometrics