Debunking Two Myths of the Weekend Effect

Foong Soon Cheong
Additional contact information
Foong Soon Cheong: Department of Accounting & Information Systems, Rutgers Business School, Rutgers University, 1 Washington Park #944, Newark, NJ 07102, USA

IJFS, 2016, vol. 4, issue 2, 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.

Keywords: Weekend effect; Monday effect; anomaly; data-mining (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7072/4/2/7/pdf (application/pdf)
https://www.mdpi.com/2227-7072/4/2/7/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:4:y:2016:i:2:p:7-:d:67720

Access Statistics for this article

IJFS is currently edited by Ms. Hannah Lu

More articles in IJFS from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().