Day-of-the-week and intraday effects in stock returns☆
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The views expressed in this paper do not reflect the views of the Federal Reserve System. We are grateful to Andrew Lo, Terry Marsh, Jay Ritter, Bill Schwert and especially Don Keim and Ken French (the referee) for comments and suggestions that have improved the quality of this paper. This is a revised version of the paper we presented at the Western Finance Association meeting in Vancouver, June 1984. We would also like to thank Jay Merves and David Mook for excellent research assistance.
Copyright © 1986 Published by Elsevier B.V.