CRITICAL FINANCE REVIEW · Vol5-2· 2016

周末效应不再存在

作者：Russell P. Robins (Tulane University, USA)

Geoffrey Peter Smith (Arizona State University, USA)

摘要：1975年以前，等权重（价值权重）股票市场投资组合的平均周末回报率为-18bp （-19bp）。1975年之后，该回报率变为不显著的-5bp（-1bp）。这个改变的日期是由一个带有未知改变日期的结构性改变测试决定的。周末效应不再是一种异象。

关键字：周末效应，结构性改变

No More Weekend Effect

Russell P. Robins (Tulane University, USA), Geoffrey Peter Smith (Arizona State University, USA)

ABSTRACT

Before 1975, the mean weekend rate of return on the equal-weight (value-weight) stock market portfolio is significant ?18bp (?19bp). After 1975, it is insignificant ?5bp (?1bp). This break date is determined by a structural break test with unknown break date. The weekend effect is no longer an anomaly.

Keywords: Weekend effect, Structural break

原文链接：

http://cfr.ivo-welch.info/readers/pub/cfr-0038.pdf

翻译：吴雨玲