Documented the weekend effect in U.S. stocks
Kenneth French
Kenneth R. French is the Roth Family Distinguished Professor of Finance at the Tuck School of Business at Dartmouth, with a PhD in finance from the University of Rochester (1983), and earlier taught at MIT Sloan, Yale and Chicago Booth. With Eugene Fama he is known for the value effect and the Fama-French multi-factor asset pricing models.
What they argue
- From 1953 to 1977 the S&P 500's average Monday return, which spans the weekend, was significantly negative, while Friday's was the highest of the week.
- Average returns are explained by exposures to a few common factors such as size and value.
Sources
Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.
Weekend (Monday) effect: skip the Friday-to-Monday return
Rule and full recordCalendar · daily · with Josef Lakonishok & Seymour Smidt
Step out at the week's last close and buy back at the next week's first close, skipping the weekend-plus-Monday stretch that used to lose money.
Best risk-adjusted results against buy and hold: