A Brief History And Recent Developments In Day-Of-The-Week Effect Literature

Purpose - The purpose of this paper is to provide a brief review of pre-2003 work on the weekend effect and then discuss how recent selected work has extended our knowledge of the subject.Design/methodology/approach - Results of recently published studies are organized and summarized by research question and outcomes.Findings - While early literature found a fairly consistent weekend effect, with positive returns on Fridays and negative returns on Mondays, more recent research shows the effect moving to other days, reversing or vanishing.Research limitations/implications - While it is difficult to compare studies made across different time periods, the direction of present research gives insight into how markets are adjusting to the weekend effect anomaly.Practical implications - Investors may find it very hard to adequately identify a trading strategy based on current research.Originality/value - This work conveniently synthesizes and presents current research findings from a variety of published sources.