Data

The present study uses monthly data between January 1974 and December 1994. In general, a daily, weekly, monthly, or longer measurement horizon can be utilized to analyze stock returns. Employing daily stock returns introduces the problem of missing values due to holidays or noncontinuous trading, which is especially severe for small firms. Another possibility is the use of weekly stock returns. In this case, Tuesday or Wednesday returns are usually employed since there are “anomalies” for other days of the week:103 Monday stock returns are lower, on average, and Friday returns are higher, on average, than those on other days of the week. The highest frequency at which macroeconomic data are accessible are monthly data, and therefore, monthly data were chosen for the present study.