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2.  Overview  Data  Statistical tests  Results  Ongoing research 2

3.  James Philpot and Craig A. Peterson,  “A brief history and recent developments in day-of-the-week effect literature,”  Managerial Finance, Vol. 37, No. 9, 2011, pp 808 – 816.  Page 808: “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.” 3

4.  Boudreaux, Denis, Spuma Rao, and Phillip Fuller (BRF)  “An Investigation of the weekend effect during different market orientations”  Journal of Economics and Finance,  2010, Volume 34, pp 257 – 268  Different market orientations = Bear and non- Bear markets 4

5.  Boudreaux, Rao, Fuller (2010)  Most studies were Studied weekend/Monday versus non-Weekend daily rates of return for bear and non-bear markets.  Mention ANOVA for each day of week but no numbers.  Used DJIA, S&P 500, and NASDAQ  Used daily data from 10/11/84 – 9/13/02 5

6.  Boudreaux, Rao, and Fuller (2010)  Key results: ◦ Average daily rate of return in bear and non-bear markets are not equal ◦ Average daily rate of return > 0 for weekend and non-weekend dates during non-bear markets, is < 0 for bear markets ◦ Average daily rate of return not different ◦ For S&P 500 and NASDAQ significant difference amongst days of week only for non-bear markets (no numerical data). 6

7.  Boudreaux, Rao, and Fuller (2010)  Flaws: ◦ Treat all years as one data set ◦ Ignore dividends, use DJIA, S&P 500 and NASDAQ without ◦ Use only one source for bear and non-bear markets ◦ Only provide data for t tests of means – Mention ANOVA results but no numerical support 7

8. 8 Source: http://www.gold- eagle.com/gold_digest_01/vronsky012201.html See page 8 for links to other web pages with dates for bear and non- bear markets – part of ongoing research

9. 9 Note: See Appendix 1, page 8, for list in BRF, also, October 11, 1987 should be October 19, 1987

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