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来源：蜘蛛抓取(WebSpider) 时间：2016-12-03 21:32 标签： 10001 108
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, July–August 1991, Pages 51–104
A posterior odds analysis of the weekend effect
University of North Carolina, Chapel Hill, NC 27599, USAThe weekend effect is the tendency for Monday stock returns to be negative. The paper reports a posterior odds evaluation of the day-of-the-week and weekend effect that largely reverses earlier findings. The interaction of large sample sizes and fixed significance level hypothesis testing is identified as the likely source of disagreements between p-values and posterior probabilities. Analysis with informative and relatively diffuse prior distributions indicates this divergence does not apparently reflect special distributional assumptions. Further analysis suggests that earnings announcement behavior and a small number of outliers may account for much of the evidence of systematically negative Monday returns in the few years where posterior odds favor the weekend effect hypothesis.
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