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Weekend Effect (weekend + effect)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Short Selling and the Weekend Effect in Nasdaq Stock Returns

FINANCIAL REVIEW, Issue 1 2009
Stephen E. Christophe
G10; G11 Abstract We examine daily short selling of Nasdaq stocks to explore whether speculative short selling causes a significant portion of the weekend effect in returns. We identify a weekend effect in speculative short selling whereby it constitutes a larger percentage of trading volume on Mondays versus Fridays. We find an opposite effect in dealer short selling, consistent with market makers adding liquidity and stability. Our main finding is that speculative short selling does not explain an economically meaningful portion of the weekend effect in returns, even among the firms most that are most actively shorted. This finding contradicts some prior studies. [source]

The Weekend Effect, ,Reverse' Weekend Effect, and Firm Size

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2000
Jorge Brusa
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. [source]

Short Selling and the Weekend Effect in Nasdaq Stock Returns

FINANCIAL REVIEW, Issue 1 2009
Stephen E. Christophe
G10; G11 Abstract We examine daily short selling of Nasdaq stocks to explore whether speculative short selling causes a significant portion of the weekend effect in returns. We identify a weekend effect in speculative short selling whereby it constitutes a larger percentage of trading volume on Mondays versus Fridays. We find an opposite effect in dealer short selling, consistent with market makers adding liquidity and stability. Our main finding is that speculative short selling does not explain an economically meaningful portion of the weekend effect in returns, even among the firms most that are most actively shorted. This finding contradicts some prior studies. [source]

The Weekend Effect, ,Reverse' Weekend Effect, and Firm Size

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2000
Jorge Brusa
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. [source]