EWIDEnterprise-Wide Identifier
EWIDEdelweiss Industrial Design
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However, the coefficients of the pre-holiday dummy variables for both VWID and EWID are also significantly positive (at the 1 percent level), indicating that pre-holiday returns on these indices are significantly higher than regular returns, even after adjusting for high returns on the last trading day of the year.
From Panel B of Table 3, the monthly coefficients for the VWID and EWID indices corroborate the findings of Linn and Lockwood (1988) and Fortin and Joy (1991), indicating that returns during the first halves of trading months significantly exceed returns during the second halves of months.
From Panel C of Table 3, the day-of-the-week coefficients for VWID and EWID provide evidence of low daily returns on both Monday and Tuesday and high daily returns on Thursday and Friday, compared to the daily returns on Wednesday.
The coefficients of the post-holiday dummy variables, which are significantly negative for both VWID and EWID, imply that post-holiday returns on these indices are significantly lower than regular returns.