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A Further Investigation of the Weekend Effect in Stock Returns
Donald B. Keim and Robert F. Stambaugh
The Journal of Finance
Vol. 39, No. 3, Papers and Proceedings, Forty-Second Annual Meeting, American Finance Association, San Francisco, CA, December 28-30, 1983 (Jul., 1984), pp. 819-835
Stable URL: http://www.jstor.org/stable/2327945
Page Count: 17
You can always find the topics here!Topics: Prices, Finance, Bid prices, Stock exchanges, Stock market indices, Stock prices, Degrees of freedom, P values, Composite indices, Over the counter stock
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This study uses a longer time period and additional stocks to further investigate the weekend effect. We find consistently negative Monday returns (1) for the S & P Composite as early as 1928, (2) for Exchange-traded stocks of firms of all sizes, and (3) for actively traded over-the-counter (OTC) stocks. The OTC results are based on bid prices and therefore appear to reject specialist-related explanations. For the 30 individual stocks of the Dow Jones Industrial Index, the average correlation between Friday and Monday returns is positive and the highest of all pairs of successive days. The latter finding is inconsistent with fairly general measurement-error explanations.
The Journal of Finance © 1984 American Finance Association