Debunking two myths of the weekend effect

Foong Soon Cheong (Department of Accounting & Information Systems, Rutgers Business School, Rutgers University)

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.

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Year of publication:	June 2016
Authors:	Cheong, Foong Soon
Published in:	International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 4.2016, 2, p. 1-9
Subject:	Weekend effect \| Monday effect \| anomaly \| data-mining \| Kalendereffekt \| Calendar effect \| Börsenkurs \| Share price \| Zeit \| Time

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/ijfs4020007 [DOI] hdl:10419/167806 [Handle]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

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