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- Title
Weekend Effects on Stock Returns: A Reply.
- Authors
LAKONISHOK, JOSEF; LEVI, MAURICE
- Abstract
This article presents the authors' response to a comment on their article on the weekend effect on stock returns. They note that the main contribution of their article was to point out that realized daily rates of return cannot be computed from only two consecutive closing prices. They note that the reason for this is institutional and is related to the settlement and closing procedures. They note that the comment on their work is really more of an extension in the sense that the authors address the notion that adjustments should be made in the computing of realized returns.
- Subjects
RATE of return on stocks; RATE of return; PURCHASING; PAYMENT; EXPECTED utility; EXPECTED returns; CONSUMER preferences; INTEREST rate risk; ECONOMIC forecasting; CLEARING of securities; SECURITIES processing; INVESTMENT management; ECONOMICS
- Publication
Journal of Finance (Wiley-Blackwell), 1985, Vol 40, Issue 1, p351
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1985.tb04957.x