Investor risk aversion and the weekend effect: The basics
Department or Administrative Unit
Finance and Supply Chain Management
This paper provides an explanation of the continued persistence of the weekend effect. Using the 23 non-holiday Wednesday closings of 1968 as a benchmark, it is postulated that negative Monday returns can be explained by risk averse investors reacting to the arrival of new information.
Young, M. (2005). Investor risk aversion and the weekend effect: The basics. Academy of Accounting and Financial Services Journal, 9(3).
Academy of Accounting and Financial Studies Journal