Day-of-the-Week Effect in High Moments
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management; Ono Academic College
Evidence from equity markets worldwide indicates that the Day-of-the-Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair-wise weekend effects in high moments when comparing the first and last trading days of the week. The second moment alone appears to distinguish the return distribution of the first trading day from all others. A probable explanation of the phenomena appears to be information dissemination: corporate announcements released after closing of the last trading day of the week spill-over to the opening of the first trading day, increasing its variability and carrying the closing sign.
Number of Pages in PDF File: 26
Keywords: Day of the week, high moments, corporate announcements
JEL Classification: C14, C31, G14working papers series
Date posted: March 29, 2005
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