This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Providing a more accurate covariance matrix forecast can substantially improve the performance of optimized portfolios. Using out-of-sample tests, in this paper, we evaluate alternative covariance matrix forecasting methods by looking at (1) their forecast accuracy, (2) their ability to track...