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No More Weekend Effect

Author

Listed:
  • Robins, Russell P.
  • Smith, Geoffrey Peter

Abstract

Before 1975, the mean weekend rate of return on the equal-weight (value-weight) stock market portfolio is significant -18bp (-19bp). After 1975, it is insignificant -5bp (-1bp). This break date is determined by a structural break test with unknown break date. The weekend effect is no longer an anomaly.

Suggested Citation

  • Robins, Russell P. & Smith, Geoffrey Peter, 2016. "No More Weekend Effect," Critical Finance Review, now publishers, vol. 5(2), pages 417-424, December.
    • Handle: RePEc:now:jnlcfr:104.00000038
    DOI: 10.1561/104.00000038
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    Citations

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    Cited by:

    1. Qadan, Mahmoud & Nisani, Doron & Eichel, Ron, 2022. "Irregularities in forward-looking volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 489-501.
    2. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2021. "The day-of-the-week-effect on the volatility of commodities," Resources Policy, Elsevier, vol. 71(C).
    3. Birru, Justin, 2018. "Day of the week and the cross-section of returns," Journal of Financial Economics, Elsevier, vol. 130(1), pages 182-214.
    4. Das, Somnath & King, Alexander Z., 2021. "Measuring the informativeness of earnings announcements: The role of event windows," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 350-367.
    5. Sproule, Robert & Gosselin, Gabriel, 2023. "Is the research agenda for calendar anomalies “much do about nothing”?," MPRA Paper 117001, University Library of Munich, Germany.
    6. Ali, Fahad & Ülkü, Numan, 2020. "Weekday seasonality of stock returns: The contrary case of China," Journal of Asian Economics, Elsevier, vol. 68(C).
    7. Smith, Geoffrey Peter, 2016. "Weekday variation in the leverage effect: A puzzle," Finance Research Letters, Elsevier, vol. 17(C), pages 193-196.
    8. Russell P. Robins & Geoffrey Peter Smith, 2020. "Selection bias and pseudo discoveries on the constancy of stock return anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1407-1426, November.

    More about this item

    Keywords

    Weekend effect; Structural break;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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