A brief history and recent developments in day-of-the-week effect literature

• Published in: Managerial finance Vol. 37; no. 9; pp. 808 - 816
• Main Authors: Philpot, James, Peterson, Craig A
• Format: Journal Article
• Language: English
• Published: Patrington Emerald Group Publishing Limited 09.08.2011; Emerald
• Subjects: Bibliometrie; Calendars; Dow Jones averages; Economic models; Economic theory; Efficiency; Efficient markets; Growth models; Hypotheses; Investments; Investors; Kalendereffekt; Portfolio management; Prices; Stock exchanges; Stock prices; Studies; Treasury bills; Wertpapierhandel; United Kingdom > UK; Calendar events; Weekend effect; Day-of-the-week; Economic returns; Anomalies
• ISSN: 0307-4358; 1758-7743
• DOI: 10.1108/03074351111153203

Purpose - The purpose of this paper is to provide a brief review of pre-2003 work on the weekend effect and then discuss how recent selected work has extended our knowledge of the subject.Design methodology approach - Results of recently published studies are organized and summarized by research question and outcomes.Findings - While early literature found a fairly consistent weekend effect, with positive returns on Fridays and negative returns on Mondays, more recent research shows the effect moving to other days, reversing or vanishing.Research limitations implications - While it is difficult to compare studies made across different time periods, the direction of present research gives insight into how markets are adjusting to the weekend effect anomaly.Practical implications - Investors may find it very hard to adequately identify a trading strategy based on current research.Originality value - This work conveniently synthesizes and presents current research findings from a variety of published sources.