Critical Finance Review > Vol 5 > Issue 2

No More Weekend Effect

Russell P. Robins, A. B. Freeman School of Business, Tulane University, USA, russellr@tulane.edu Geoffrey Peter Smith, W. P. Carey School of Business, Arizona State University, USA, gps@asu.edu
 
Suggested Citation
Russell P. Robins and Geoffrey Peter Smith (2016), "No More Weekend Effect", Critical Finance Review: Vol. 5: No. 2, pp 417-424. http://dx.doi.org/10.1561/104.00000038

Published: 21 Dec 2016
© 2016 R. P. Robins and G. P. Smith
 
Subjects
Financial markets: Anomalies and behavioral finance,  Financial markets: Market efficiency
 
Keywords
G10G14G19
Weekend effectStructural break
 

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In this article:
1. Introduction
2. Method
3. Results and analysis
4. Conclusion
References

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.

DOI:10.1561/104.00000038