January reversal in the US weekend effect

Samer Al-Rjoub, M. Kabir Hassan and Oscar Varela

No 2003-05, Working Papers from University of New Orleans, Department of Economics and Finance

Abstract: Average returns for small firm size portfolios tend to decrease during the week in January, with Monday returns highest and Friday lowest. More striking are the results after controlling for Mondays and Fridays in the first and the last 3 weeks of January. Monday returns in this first week are significantly positive and inversely related to size. Monday returns are also significantly positive for the small firm size portfolio in the last 3 weeks of January. But returns on Friday are insignificantly different from zero after controlling for Fridays in the first week and the last three weeks of January. The first Monday in January is particularly critical to the reversal of the end-of-the-week effect at the turn-of-the-year, with abnormal demand for stocks following the first weekend of a new calendar year possibly responsible for this anomaly within an anomaly.

Keywords: Weekend effect; January effect; Anomalies (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2003-10-03
References: Add references at CitEc
Citations:

Downloads: (external link)
http://louisdl.louislibraries.org/cgi-bin/showfile.exe?CISOROOT=/EFW&CISOPTR=13 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to louisdl.louislibraries.org:80 (No such host is known. )

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:uno:wpaper:2003-05

Access Statistics for this paper

More papers in Working Papers from University of New Orleans, Department of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Janet Murphy Crane ().