School Holidays and Stock Market Seasonality

Globally, market returns are 0.5% to 1% lower in the month after major school holidays than other times. The same seasonality is not observed in either macroeconomic variables or the corporate earnings news. During holidays, abnormal institutional buys, sells, and short selling around earnings announcements are 8%, 14%, and 18% lower than other times, and institutional trades account for a smaller percentage of total market volume. Market response to negative news is delayed. Our evidence suggests that the low after-holiday returns are attributable to the market being collectively less attentive during holidays, and (negative) news is slowly incorporated into prices. 

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