No More Weekend Effect

Abstract

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.

Absence of the weekend effect and industry-style portfolios

“…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/methodology/approach -The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios.Findings -As for the existence of weekend effects, the authors get mixed results for different portfolios.However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper.Originality/value -As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.…”

“…However, we believe that the results and findings in this paper have the potential to be generalized and applied to other types of portfolios and markets. This is especially true since Robins and Smith (2016) have already reported similar results in the context of the broader market.…”

“…More specifically, in this paper, we explore the existence or absence of Monday effects. To this end, we closely follow the methodology outlined in Robins and Smith (2016). First, we apply parameter stability tests and structural break tests on Monday returns on all industry portfolios.…”

“…In light of the discussion above, the general objective of this paper is to add empirical evidence to the weekend effect literature for the industry-style portfolios. More specifically, the objective of this paper is to re-examine the recent findings of Robins and Smith (2016), who reported absence of weekend effect on the market portfolio. We investigate if their findings are specific to their data or apply to portfolios other than the market portfolio.…”

Investor Psychology, Mood Variations, and Sustainable Cross-Sectional Returns: A Chinese Case Study on Investing in Illiquid Stocks on a Specific Day of the Week

“…The weekend effect has not existed since 1975 (Robins and Smith, 2016). The presence of a strong cross-sectional effect is still not surprising since mood variations provide clear predictions, but these patterns do not lead to comprehensive predictions.…”