One of the most evident and persistent anomalies in the international stock markets is the preholiday eff ect. It is defi ned as the existence of extraordinary performance from the time the market closes on the day before the preholiday to the market close on the preholiday day. is chapter analyzes the preholiday eff ect at Mexican stock exchange (BMV), in the period between January 2, 1980 and December 31, 2004. e preholiday’s magnitude and level of signifi cance in addition to its persistence throughout time are analyzed. Research is also undertaken as to whether the reward associated with the preholiday eff ect is associated with greater risk or volatility. Finally, the existence or not of a dependency with the same eff ect in the U.S. capital markets is also studied.