A brief history and recent developments in day‐of‐the‐week effect literature

Purpose – The purpose of this paper is to provide a brief review of pre‐2003 work on the weekend effect and then discuss how recent selected work has extended our knowledge of the subject. Design/methodology/approach – Results of recently published studies are organized and summarized by research question and outcomes. Findings – While 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. Research limitations/implications – While it is difficult to compare studies made across different time periods, the direction of present research gives insight into how markets are adjusting to the weekend effect anomaly. Practical implications – Investors may find it very hard to adequately identify a trading strategy based on current research. Originality/value – This work conveniently synthesizes and presents current research findings from a variety of published sources.