In this paper, we find a 'reverse%rsquo; weekend effect - whereby returns for Monday are positive and significantly greater than returns for the preceding Friday - in recent data for major stock indexes. We also find that, while a weak weekend effect exists in portfolios of smaller firms, the effect begins to diminish and weak 'reverse' weekend effect begins to appear in medium size firms. The 'reverse' weekend effect becomes strong and statistically significant in portfolios of large firms. The detection of a 'reverse' weekend effect in portfolios of large firms is a new finding in the literature. Copyright Blackwell Publishers Ltd 2000.
In this paper, we examine whether the 'reverse' weekend effect recently documented by Brusa, Liu and Schulman (2000) is concentrated in a few industries or widely spread across all the industries. The findings in this paper indicate that the 'reverse' weekend effect exists not only in "broad" indices, but also in most "industries". The results suggest that the 'reverse' weekend effect may be driven by economic events that affect "all" industries, rather than "industry-specific factors". Although the patterns of Monday returns are "similar" between "broad" indices and "industry" indices, they are "different" between the "pre"- and the "post"-1988 periods. Monday returns tend to be "negative" in the "pre"-1988 period, but tend to be "positive" in the "post"-1988 period, for both broad market indices and industry indices. These conclusions are valid even after considering the influence of the "month-of-the-year" and the "week-of-the-month" effects. Copyright Blackwell Publishers Ltd, 2003.
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