Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167806
Authors: 
Cheong, Foong Soon
Year of Publication: 
2016
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 4 [Year:] 2016 [Issue:] 2 [Pages:] 1-9
Abstract: 
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.
Subjects: 
Weekend effect
Monday effect
anomaly
data-mining
JEL: 
G12
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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