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Donald Keim (1983)
SIZE-RELATED ANOMALIES AND STOCK RETURN SEASONALITY Further Empirical EvidenceJournal of Financial Economics, 12
Josef Lakonishok, M. Levi (1982)
Weekend Effects on Stock Returns: A NoteJournal of Finance, 37
M. Blume, R. Stambaugh (1983)
BIASES IN COMPUTED RETURNS An Application to the Size EffectJournal of Financial Economics, 12
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Clay Anderson (1956)
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The Behavior of Stock Prices on Fridays and MondaysFinancial Analysts Journal, 29
R. Roll (1984)
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M. Gibbons, Patrick Hess (1981)
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E. Fama (1965)
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L. Fisher (1966)
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G. Leffler, L. Farwell (1957)
The Stock Market
K. French (1980)
Stock returns and the weekend effectJournal of Financial Economics, 8
H. Theil (1971)
Principles of econometrics
ABSTRACT 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 – Wiley
Published: Jul 1, 1984
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