January reversal in the US weekend effect
M. Kabir Hassan and
No 2003-05, Working Papers from University of New Orleans, Department of Economics and Finance
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)
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Persistent link: https://EconPapers.repec.org/RePEc:uno:wpaper:2003-05
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