A Further Investigation of the Weekend Effect in Stock Returns
用更长时段和更多股票验证周末效应，发现1928年起标普综合指数、各类规模交易所股票及活跃场外股票周一收益持续为负，场外数据基于买入价，否定了专家相关解释；道琼斯30只个股周五与周一收益正相关且为所有连续日对中最高，与测量误差解释不符。
ABSTRACT This study uses a longer time period and additional stocks to further investigate the weekend effect. We find consistently negative Monday returns (1) for the S & P Composite as early as 1928, (2) for Exchange‐traded stocks of firms of all sizes, and (3) for actively traded over‐the‐counter (OTC) stocks. The OTC results are based on bid prices and therefore appear to reject specialist‐related explanations. For the 30 individual stocks of the Dow Jones Industrial Index, the average correlation between Friday and Monday returns is positive and the highest of all pairs of successive days. The latter finding is inconsistent with fairly general measurement‐error explanations.