No More Weekend Effect

Russell P. Robins and Geoffrey Peter Smith

Critical Finance Review, 2016, vol. 5, issue 2, 417-424

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.

Keywords: Weekend effect; Structural break (search for similar items in EconPapers)
JEL-codes: G10 G14 G19 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:now:jnlcfr:104.00000038

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