Comment on “Why a Weekend Effect?”

William T. Ziemba
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William T. Ziemba: University of British Columbia in Vancouver, B.C. (Canada, V6T IY8), Canada

Chapter 14 in Calendar Anomalies and Arbitrage, 2012, pp 343-354 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe weekend effect in U.S. security markets has been documented by French (1980), Gibbons and Hess (1981), and others. Miller (1988) argues that the effect could be explained by a tendency for self-initiated sell orders to exceed self-initiated buy orders over the weekend, while broker-initiated buy trades result in a surplus of buying during the remainder of the week…

Keywords: Calendar Anomalies; Arbitrage; Stock Prices; Stock Returns; US Stock Market; Futures Markets; Betting; Trading Strategies; Sports Market; Lottery Market; Capital Growth Theory; Semi-Strong Market Efficiency; Speculative Investments; Index Futures; Factor Models Based on Fundamental Anomalies; Worldwide Stock Market Strategies (search for similar items in EconPapers)
Date: 2012
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