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Volume 5, Issue 2
21 December 2016
Critical Finance Review Cover Image for Volume 5, Issue 2
Research Article| December 21 2016

No More Weekend Effect

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We gratefully acknowledge the helpful comments and suggestions of the Editor, Ivo Welch. Of course, we are responsible for any remaining errors.

Online ISSN: 2164-5760
Print ISSN: 2164-5744
© 2016 R. P. Robins and G. P. Smith
2016
R. P. Robins and G. P. Smith
Licensed re-use rights only
Critical Finance Review (2016) 5 (2): 417–424.
https://doi.org/10.1561/104.00000038

Before 1975, the mean weekend rate of return on the equal-weight (value-weight) stock market portfolio is significant −18bp (−19bp). After 1975, it is insignificant −5bp (−1bp). This break date is determined by a structural break test with unknown break date. The weekend effect is no longer an anomaly.

Keywords: Weekend effect, Structural break, G10, G14, G19
© 2016 R. P. Robins and G. P. Smith
2016
R. P. Robins and G. P. Smith
Licensed re-use rights only
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