Using a sample spanning four decades, we document that the pre-holiday effect, one of the most common of the calendar effect anomalies, still exists in the New Zealand market. Contrary to international evidence, the effect appears to have increased over time. Moreover, we find that this effect is inversely related to firm size with the entire effect limited only to small firms, with no pre-holiday price patterns being observed for medium to large firms. The existence of this pre-holiday effect seems to be mainly driven by factors relevant to New Zealand. A search for possible reasons for the persistence of the effect points primarily towards the illiquidity of smaller stocks and the reluctance of small investors to buy prior to major market closures
