Weekend Effect, ‘Reverse’ Weekend Effect, and Investor Trading Activities
发现1988至1998年间美国股市存在反向周末效应（周一收益显著为正且高于其他日），该效应与公司规模相关，大公司周一收益受前周五正收益影响，并与中等规模及大宗交易量正相关、与零散交易量负相关。
Abstract: In this study, we document evidence of a ‘reverse’ weekend effect – whereby Monday returns are significantly positive and they are higher than the returns on other days of the week – over an extended period of eleven years (from 1988 to 1998). We also find that the ‘traditional’ weekend effect and the ‘reverse’ effect are related to firm size in that the ‘traditional’ weekend effect tends to be associated with small firms while the ‘reverse’ weekend effect tends to be associated with large firms. In addition, we find that during the period in which the ‘reverse’ weekend effect is observed, Monday returns for large firms tend to follow previous Friday returns when previous Friday returns are positive , but they do not follow the previous Friday returns when Friday returns are negative . Furthermore, we find that during the period in which the ‘reverse’ weekend effect is observed, Monday returns are positively related to the volume of medium‐size and block transactions, but negatively related to the volume of odd‐lot transactions.