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The Individual Investor and the Weekend Effect

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Author Info
Abraham, Abraham
Ikenberry, David L.
Abstract

It is well known that stock returns, on average, are negative on Mondays. Yet, it is less well known that this finding is substantially the consequence of returns in prior trading sessions. When Friday's return is negative, Monday's return is negative nearly 80 percent of the time with a mean return of 0.61 percent. When Friday's return is positive, the subsequent Monday's mean return is positive, 0.11 percent. This relationship is stronger than for any other pair of trading days and is most acute in small- and medium-size companies. The trading behavior of individual investors appears to be at least one factor contributing to this pattern. Individual investors are more active sellers of stock on Mondays, particularly following bad news in the market.

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 29 (1994)
Issue (Month): 02 (June)
Pages: 263-277
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:29:y:1994:i:02:p:263-277_00

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  1. Rudel, Richard K. & McCamley, Francis, 2000. "Volatility Of Cash Corn Prices By Day-Of-The-Week," 2000 Annual meeting, July 30-August 2, Tampa, FL 21873, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  2. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September. [Downloadable!] (restricted)
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  3. Tokel, Omer Emre & Yucel, Eray M., 2009. "Does Internet access to official data display any regularity: case of the Electronic Data Delivery System of the Central Bank of Turkey," MPRA Paper 15704, University Library of Munich, Germany. [Downloadable!]
  4. Jose Garcia Blandon, 2007. "Return autocorrelation anomalies in two European stock markets," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 22(1), pages 59-70, June. [Downloadable!]
  5. Ercan Balaban, 1994. "Day of the Week Effects : New Evidence from an Emerging Stock Market," Discussion Papers 9410, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  6. James M. Steeley, 2004. "Information processing and the UK weekend effect: do investors cut their losses on Mondays?," Applied Economics Letters, Taylor and Francis Journals, vol. 11(14), pages 895-899, November. [Downloadable!] (restricted)
  7. Ercan Balaban, 1995. "Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation," Discussion Papers 9502, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  8. Stephen P. Keef & Melvin L. Roush, 2004. "Day-of-the-week effects: New Zealand bank bills, 1985-2000," Applied Financial Economics, Taylor and Francis Journals, vol. 14(12), pages 859-873, August. [Downloadable!] (restricted)
  9. Dirk Brounen & Yair Ben-Hamo, 2009. "Calendar Anomalies: The Case of International Property Shares," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 115-136, February. [Downloadable!] (restricted)
  10. Josep Garcia Blandón, 2001. "New Findings Regarding Return Autocorrelation Anomalies and the Importance of Non-trading Periods," Economics Working Papers 585, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  11. Stephen P. Keef & Melvin L. Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 107-119, January. [Downloadable!] (restricted)
  12. Guglielmo Maria Caporale & Luis A. Gil-Alana & Mike Nazarski, 2004. "Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data," Economics and Finance Discussion Papers 04-20, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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  13. Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the "weekend effect"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19. [Downloadable!]
  14. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August. [Downloadable!] (restricted)
  15. Zainal Abidin, Shahida Nadia & Wan Mahmood, Wan Mansor, 2007. "Day-of-the-Week Effect on the Bursa (Bourse) Malaysia: Further Evidence from Robust Estimations," MPRA Paper 13326, University Library of Munich, Germany. [Downloadable!]
  16. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January. [Downloadable!] (restricted)
  17. Mazumder, M. Imtiaz & Miller, Edward M. & Varela, Oscar Albert, 2005. "The weekend trading profitability: evidence from international mutual funds," Working Papers 2004-10, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  18. Peter Fortune, 1998. "Weekends can be rough: revisiting the weekend effect in stock prices," Working Papers 98-6, Federal Reserve Bank of Boston. [Downloadable!]
  19. Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," The School of Economics Discussion Paper Series 0629, Economics, The University of Manchester. [Downloadable!]
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