Footnote:
In: International Journal of Financial Studies (2016)
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2016 erstellt
Description:
This paper finds the weekend effect to be a remarkably robust anomaly and refutes the widespread belief that the weekend effect is due to data-mining or a consequence of some unusual/rare events. Out-of-sample analysis finds both the mean and median return on Monday is lower than that on Friday in nearly all years. It also reconciles and explains how some prior studies reached such an erroneous conclusion