search query: @author Groff, J. E. / total: 3
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| Author: | Windenger, J. Groff, J. E. |
| Title: | On Stochastic Dominance Analysis of Day- Of-The-Week Return Patterns |
| Journal: | Journal of Financial Research
1989 : SPRING, VOL. 12:1, p.51-55 |
| Index terms: | SECURITIES STATISTICAL METHODS |
| Language: | eng |
| Abstract: | It is well-documented that differences exist among return distributions of days of the week. Virtually every relevant study has used mean/variance analysis, although the daily return distributions are non-normal. To avoid this error, the authors apply a distribution-free method, namely, stochastic dominance analysis to test for a day-of-the-week effect. The result obtained confirms earlier findings. As a by-product, it is shown that the effects studied were not artifacts deriving from applying inappropriate methods. |
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