No More Weekend Effect

Geoffrey Peter Smith; Russell P. Robins

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Critical Finance Rev...arrow_drop_down

Critical Finance Review

Article . 2016 . Peer-reviewed

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https://dx.doi.org/10.1561/104...

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No More Weekend Effect

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2016 English Publisher:EmeraldJournal:Critical Finance Review, volume 5, pages 417-424 (issn: 2164-5744, eissn: 2164-5760,

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Authors: Geoffrey Peter Smith; Russell P. Robins;

doi: 10.1561/104.00000038

No More Weekend Effect

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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.

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