
handle: 10419/167806
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.
data-mining, ddc:330, G14, Monday effect, Weekend effect, HG1-9999, Weekend effect; Monday effect; anomaly; data-mining, anomaly, G12, Finance
data-mining, ddc:330, G14, Monday effect, Weekend effect, HG1-9999, Weekend effect; Monday effect; anomaly; data-mining, anomaly, G12, Finance
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