Academic

Monday, Monday

By Gordon Smith, Christine, Hurt, Vic Fleischer, Fred Tung, Lisa Fairfax, David Zaring

The "weekend effect" -- which holds that stock returns on Mondays are significantly lower and stock returns on Fridays are significantly higher than on other days of the week -- was first identified by Frank Cross in 1973 and has been studied extensively since then by financial economists. Despite much uncertainty about its persitence, a recent study of the weekend effect states, "one can safely conclude that the anomaly has disappeared totally." Marquering et al., Disappearing anomalies: a dynamic analysis of the persistence of anomalies, 16 Applied Financial Economics 291, 296 (2006).

Nevertheless, stock indexes are headed south today, and that seems like a good excuse for a trip down memory lane ...

Full post as published by Conglomerate on January 12, 2009 (boomark / email).