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January reversal in the US weekend effect

Author

Listed:
  • Al-Rjoub, Samer

    (Hashemite University)

  • Hassan, M. Kabir

    (University of New Orleans)

  • Varela, Oscar Albert

    (University of New Orleans)

Abstract

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.

Suggested Citation

  • Al-Rjoub, Samer & Hassan, M. Kabir & Varela, Oscar Albert, 2003. "January reversal in the US weekend effect," Working Papers 2003-05, University of New Orleans, Department of Economics and Finance.
  • Handle: RePEc:uno:wpaper:2003-05
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    More about this item

    Keywords

    Weekend effect; January effect; Anomalies;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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