Chow, Edward H.; Hsiao, Ping; Solt, Michael E. - In: Journal of Business Finance & Accounting 24 (1997-04) 3, pp. 425-444
The existence of the weekend effect has been documented as early as 1885. This paper examines whether the serial dependence in returns around weekends and the magnitude of negative Friday returns can be used to produce superior trading returns. We find some success for this endeavor after...