Trading Returns for the Weekend Effect Using Intraday Data
检验能否利用周末前后的收益序列依赖性和周五负收益的大小来设计交易策略，在扣除交易成本后仍有一定成功，尤其当交易集中在周五下午且周五跌幅较大时。
The existence of the weekend effect has been documented as early as 1885. This paper examines whether the serial dependence in returns around weekends and the magnitude of negative Friday returns can be used to produce superior trading returns. We find some success for this endeavor after accounting for transaction costs (including the bid/ask spread), especially when trading is confined to weekends for which there are large negative Friday returns and to positions opened on Friday afternoons. The effect of stocks trading ex‐dividend on Mondays does not appear to bias our results.