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Keywords: Structural break
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Journal Articles
Absence of the weekend effect and industry-style portfolios
Available to Purchase
Journal:
Journal of Financial Economic Policy
Journal of Financial Economic Policy (2020) 12 (4): 463–475.
Published: 15 January 2020
... portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design...
