January reversal in the US weekend effect
Average returns for small firm size portfolios tend to decrease during the week in January, with Monday returns highest and Friday lowest. More striking are the results after controlling for Mondays and Fridays in the first and the last 3 weeks of January. Monday returns in this first week are significantly positive and inversely related to size. Monday returns are also significantly positive for the small firm size portfolio in the last 3 weeks of January. But returns on Friday are insignificantly different from zero after controlling for Fridays in the first week and the last three weeks of January. The first Monday in January is particularly critical to the reversal of the end-of-the-week effect at the turn-of-the-year, with abnormal demand for stocks following the first weekend of a new calendar year possibly responsible for this anomaly within an anomaly.
|Date of creation:||03 Oct 2003|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (504) 280-6485
Web page: http://www.uno.edu/~coba/econ/index.html
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:uno:wpaper:2003-05. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Janet Murphy Crane)
If references are entirely missing, you can add them using this form.