In this paper, we examine whether the 'reverse' weekend effect recently documented by Brusa, Liu and Schulman (2000) is concentrated in a few industries or widely spread across all the industries. The findings in this paper indicate that the 'reverse' weekend effect exists not only in "broad"...

In this study, we document evidence of a 'reverse' 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 'traditional' weekend effect...