January Reversal in the US Weekend Effect

31 Pages Posted: 31 Oct 2018

See all articles by Samer A. M. Al-Rjoub

Samer A. M. Al-Rjoub

Hashemite University - Department of Finance and Banking

M. Kabir Hassan

University of New Orleans - College of Business Administration - Department of Economics and Finance

Oscar Varela

University of New Orleans - College of Business Administration - Department of Economics and Finance

Date Written: 2003

Abstract

Average returns for small firm size portfolios tend to decrease during the week in January, with Monday returns highest and Friday lowest. More striking are the results after controlling for Mondays and Fridays in the first and the last 3 weeks of January. Monday returns in this first week are significantly positive and inversely related to size. Monday returns are also significantly positive for the small firm size portfolio in the last 3 weeks of January. But returns on Friday are insignificantly different from zero after controlling for Fridays in the first week and the last three weeks of January. The first Monday in January is particularly critical to the reversal of the end-of-the-week effect at the turn-of-the-year, with abnormal demand for stocks following the first weekend of a new calendar year possibly responsible for this anomaly within an anomaly.

Keywords: Average return, Small firms, Portfolio

Suggested Citation

Al-Rjoub, Samer A. M. and Hassan, M. Kabir and Varela, Oscar, January Reversal in the US Weekend Effect (2003). Available at SSRN: https://ssrn.com/abstract=3263460 or http://dx.doi.org/10.2139/ssrn.3263460

Samer A. M. Al-Rjoub

Hashemite University - Department of Finance and Banking ( email )

Zarqa, 13133
Jordan
00692-53903333 (Phone)
00962-53826613 (Fax)

HOME PAGE: http://staff.hu.edu.jo/Default.aspx?id=KZfU5IGSGQI=

M. Kabir Hassan (Contact Author)

University of New Orleans - College of Business Administration - Department of Economics and Finance ( email )

2000 Lakeshore Drive
New Orleans, LA 70148
United States

Oscar Varela

University of New Orleans - College of Business Administration - Department of Economics and Finance ( email )

2000 Lakeshore Drive
New Orleans, LA 70148
United States

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