There will be a seminar talk given by
Raimund Alt (IHS)
Ines Fortin (IHS)
Simon Weinberger (IHS)
on "The Day-of-the-Week Effect Revisited:
An Alternative Testing Approach"
Tuesday, Nov. 19th. 4 - 5:30 p.m. IHS (Stumpergasse 56, 1060 Wien) HS 2.
Abstract:
Our paper questions traditional approaches for testing the day-of-the-week
effect on stock returns. We propose an alternative approach based on the
closure test principle introduced by Marcus, Peritz and Gabriel (1976),
which has become very popular in Biometrics and Medical Statistics. We test
all pairwise comparisons of daily expected stock returns, while the
probability of committing any type I error is always kept smaller than or
equal to some prespecified level a for each combination of true null
hypotheses. We confirm day-of-the-week effects for the S&P 500, the FTSE 30
and the DAX 30 found in earlier studies, but find no evidence for the 1990's.
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Tel: +43.1.59991.141
Fax: +43.1.59991.555
Homepage:
http://www.ihs.ac.at/~lee/