Year
1984
Country
United States
Language
English
Abstract
This paper decomposes daily close to close returns into trading day and nonâ€trading day returns. We discover that all of the average negative returns from Friday close to Monday close documented in the literature for stock market indexes occurs during the nonâ€trading period from Friday close to Monday open. In addition, average trading day returns (open to close) are identical for all days of the week. January/firm size/turnâ€ofâ€theâ€year anomalies are shown to be interrelated with dayâ€ofâ€theâ€week returns. 1984 The American Finance Association
English
ISSN/ISBN
221082
No. of Pages
1603 - 1614
Number
5
Volume
39
Select type of work
Name of the Journal
CIS Program Old
CIS publications
No
CIS Thesis
No