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Int. J. Financial Stud. 2016, 4(2), 7; doi:10.3390/ijfs4020007

Debunking Two Myths of the Weekend Effect

Department of Accounting & Information Systems, Rutgers Business School, Rutgers University, 1 Washington Park #944, Newark, NJ 07102, USA
Academic Editor: Nicholas Apergis
Received: 7 December 2015 / Revised: 6 February 2016 / Accepted: 18 March 2016 / Published: 7 April 2016
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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. View Full-Text
Keywords: Weekend effect; Monday effect; anomaly; data-mining Weekend effect; Monday effect; anomaly; data-mining

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Cheong, F.S. Debunking Two Myths of the Weekend Effect. Int. J. Financial Stud. 2016, 4, 7.

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Int. J. Financial Stud. EISSN 2227-7072 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
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