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.

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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/