Debunking Two Myths of the Weekend Effect

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

MoreLess

Year of publication:	2017
Authors:	Cheong, Foong Soon
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Kalendereffekt \| Calendar effect \| Börsenkurs \| Share price

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Financial Studies (2016) Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2016 erstellt
Other identifiers:	10.2139/ssrn.2756720 [DOI]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012969642