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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6084


    Title: Trading Returns for the Weekend Effect Using Intraday Data
    Authors: 周行一
    Chow, Edward H.;Hsiao, Ping;Solt, Michael E.
    Keywords: weekend effect;intraday observations;trading strategies;transactions costs;risk and return
    Date: 1997
    Issue Date: 2008-11-05 16:51:23 (UTC+8)
    Abstract: The existence of the weekend effect has been documented as early as 1885. This paper examines whether the serial dependence in returns around weekends and the magnitude of negative Friday returns can be used to produce superior trading returns. We find some success for this endeavor after accounting for transaction costs (including the bid/ask spread), especially when trading is confined to weekends for which there are large negative Friday returns and to positions opened on Friday afternoons. The effect of stocks trading ex-dividend on Mondays does not appear to bias our results.
    Relation: Journal of Business,Finance and Accounting, 24(3-4), 425-444
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1111/1468-5957.00113
    DOI: 10.1111/1468-5957.00113
    Appears in Collections:[財務管理學系] 期刊論文

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