Debunking Two Myths of the Weekend Effect
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 n...
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| Format: | Article |
| Language: | English |
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MDPI AG
2016-04-01
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| Series: | International Journal of Financial Studies |
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| Online Access: | http://www.mdpi.com/2227-7072/4/2/7 |