Critical Finance Review > Vol 5 > Issue 2

No More Weekend Effect

Russell P. Robins, A. B. Freeman School of Business, Tulane University, USA, Geoffrey Peter Smith, W. P. Carey School of Business, Arizona State University, USA,
Suggested Citation
Russell P. Robins and Geoffrey Peter Smith (2016), "No More Weekend Effect", Critical Finance Review: Vol. 5: No. 2, pp 417-424.

Publication Date: 21 Dec 2016
© 2016 R. P. Robins and G. P. Smith
Financial markets: Anomalies and behavioral finance,  Financial markets: Market efficiency
Weekend effectStructural break


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


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.