Fix bug in calculation of holidays

Closes pandas-dev#31415

Author: dhirschfeld

pandas/tseries/holiday.py

@@ -7,8 +7,9 @@
 
 from pandas.errors import PerformanceWarning
 
-from pandas import DateOffset, Series, Timestamp, date_range
-
+from pandas import (
+    DateOffset, DatetimeIndex, Series, Timestamp, concat, date_range,
+)
 from pandas.tseries.offsets import Day, Easter
 
 
@@ -406,17 +407,17 @@ def holidays(self, start=None, end=None, return_name=False):
         start = Timestamp(start)
         end = Timestamp(end)
 
-        holidays = None
+        holidays = []
         # If we don't have a cache or the dates are outside the prior cache, we
         # get them again
         if self._cache is None or start < self._cache[0] or end > self._cache[1]:
             for rule in self.rules:
-                rule_holidays = rule.dates(start, end, return_name=True)
+                holidays.append(rule.dates(start, end, return_name=True)
 
-                if holidays is None:
-                    holidays = rule_holidays
-                else:
-                    holidays = holidays.append(rule_holidays)
+            if holidays:
+                holidays = concat(holidays)
+            else:
+                holidays = Series(index=DatetimeIndex([]), dtype=object)
 
             self._cache = (start, end, holidays.sort_index())