The Review of Finance and Banking

43-62

Authors: Andrey Kudryavtsev

The study explores the holiday effect on large daily stock price changes and on subsequent stock returns. The motivation for the study is based on the Mood Maintenance Hypothesis and on the literature documenting lower stock trading activity before holidays. I hypothesize that if a company-specific shock takes place before a holiday, then investors striving to maintain their positive pre-holiday mood, may be less willing to make influential trading decisions, and therefore, may react relatively more weakly to the shock. This kind of behavior may create an underreaction to the shock and result in subsequent price drift. I analyze all major daily stock price moves, defined according to a number of alternative proxies, for all the constituents of S&P 500 Index over the period from 1993 to 2017. I document that both positive and negative stock price moves occurring immediately before public holidays are followed by significant price drifts on the next two (post-holiday) trading days and over five- and twenty-day intervals following the initial price move. The magnitude of these post-event drifts increases over longer time windows. On the other hand, I find that large stock price changes taking place on regular days are followed by either non-significant or marginally significant price reversals. The effect is more pronounced for small and more volatile stocks.

7-26

Authors: Bogdan Capraru, Nicoleta-Livia Pintilie

The current paper provides new insights on competition degree among 2,024 commercial, cooperative and savings banks from the 28 European Union states during 2005-2015. Bank-level Lerner index, its efficiency-adjusted form and Boone indicator are the computed indices, with total output consisting in loans, customer deposits and securities. The estimates of marginal costs result from solving a Fourier flexible form of translog cost function. The banks included in the sample remain very competitive over time with the commercial and cooperative ones displaying the highest competitiveness. Non-OECD, upper-middle income and Eurozone states have a more competitive banking sector comparing to their counterparts.