Weekend effects on stock returns: a reply
Article Abstract:
Work presented earlier by the authors showed that realized daily rates of return are not computable from only two consecutive closing prices because of institutional reasons related to settlement-clearing procedures. It was stated that Friday stock purchases cannot be made eight calendar days after the trade, as those on all other days are, because it falls on a Saturday, leading to a delay of two additional days. This leads to a required adjustment for two days of risk-free interest, a point which was completely ignored in the comment on this research by Dyl and Martin (appearing directly before this reply). It is concluded that while the conditions described in the initial work cannot completely explain a phenomenon the size of the weekend effect, they are still relevant to the effect to some degree.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1985
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Momentum strategies
Article Abstract:
We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk, size, and book-to-market effects do not explain the drifts. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Security analysts' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst past performance. The result suggest a market that responds only gradually to new information. (Reprinted by permission of the publisher.)
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1996
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Weekend effects on stock returns: a comment
Article Abstract:
A partial explanation for the intraweek pattern of daily stock market returns observed by several financial researchers was offered in work presented earlier in the Journal, in which it was claimed by the hypothesis formulated that abnormally-high returns to common stocks on Fridays and negative returns to common stocks on Mondays, referred to as the weekend effect, is explainable by settlement procedures and check-clearing delays. While the conclusions drawn in that research are interesting, empirical evidence is presented that shows that settlement-clearing procedures do not have an important impact on the weekly pattern described for stock market returns.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1985
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