Brusa, Jorge Omar R.
[VerfasserIn]
;
Liu, Pu
[Sonstige Person, Familie und Körperschaft];
Schulman, Craig T.
[Sonstige Person, Familie und Körperschaft]
Weekend Effect, 'Reverse' Weekend Effect, and Investor Trading Activities
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2003 erstellt
Beschreibung:
In this study, we document evidence of a quot;reversequot; weekend effect - whereby, Monday returns are significantly positive and they are higher than the returns on other days of the week - over an extended period of eleven years (from 1988 to 1998). We also find that the quot;traditionalquot; weekend effect and the quot;reversequot; effect are related to firm size in that the quot;traditionalquot; weekend effect tends to be associated with small firms while the quot;reversequot; weekend effect tends to be associated with large firms. In addition, we find that during the period in which the quot;reversequot; weekend effect is observed, Monday returns for large firms tend to follow previous Friday returns when previous Friday returns are positive, but they do not follow the previous Friday returns when Friday returns are negative. Furthermore, we find that during the period in which the quot;reversequot; weekend effect is observed, Monday returns are positively related to the volume of block and medium-size transactions, but negatively related to the volume of odd-lot transactions