Stats › Seasonality and calendar › Calendar anomalies
The weekend effect's t statistic fell from -8.86 to -1.37
A t statistic of minus 8.86 is overwhelming. Minus 1.37 is nothing. The paper was published in 1980. Source: Schwert, Anomalies and Market Efficiency, NBER working paper 9277.
Researchers kept finding returns tied to the calendar, then published them. Kenneth French's weekend effect had a t statistic of minus 8.86 before 1980 and minus 1.37 after. Across 97 published predictors, returns fell 58 per cent once the paper was out.
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