The Weekend Effect, ‘Reverse’ Weekend Effect, and Firm Size
发现主要股指近期出现‘反向’周末效应，即周一回报显著高于前周五；同时发现小公司组合存在弱周末效应，而大公司组合中‘反向’周末效应显著，这是文献新发现。
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.