Brusa, Jorge; Hernandez, Rodrigo; Liu, Pu - In: Managerial Finance 37 (2011) 9, pp. 817-839
Purpose – The purpose of this paper is to examine whether the seasonal anomaly known as the reverse weekend effect detected at index level can also be observed at individual stock level. Design/methodology/approach – This paper's methodology is based on the model first developed by Connolly...