search query: @indexterm QUANTITATIVE TECHNIQUES / total: 178
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| Author: | Liano, K. Lindley, J. |
| Title: | An analysis of the weekend effect within the monthly effect |
| Journal: | Review of Quantitative Finance and Accounting
1995 : DEC, VOL. 5:4, p. 419-426 |
| Index terms: | ACCOUNTING FINANCE QUANTITATIVE TECHNIQUES |
| Language: | eng |
| Abstract: | This study analyzes the weekend effect of the first half and the second half of the month and finds a weekend effect: Friday returns are significantly greater than Monday returns. However, the spread between Monday's and Friday's returns shifts between the first half and the second half of the month. Consequently, a plausible explanation for the weekend effect should consider the shifting of Monday-Friday returns across the month. In addition, the 1982-1992 period does not exhibit a monthly effect for the value-weighted index. |
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