A posterior odds analysis of the weekend effect *

@inproceedings{Robert2001APO,
  title={A posterior odds analysis of the weekend effect *},
  author={Robert and Andrew J. Connolly},
  year={2001}
}
The 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… CONTINUE READING