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- W1994433641 abstract "Ample evidence suggests that day-of-the-week patterns exist in US and foreign equity returns. We extend the evidence on the day-of-the-week effect in equity returns by examining the return patterns of iShares for 17 countries and Standard and Poor's Depository Receipts (SPDRs) to establish whether previously observed predictabilities in equity returns are reflected in iShares' returns. We utilize a split sample to examine return patterns and develop trading rules using the initial subsample. We then test those trading rules out of sample. Empirical results reveal that iShares exhibit day-of-the-week return patterns that can be exploited by informed traders." @default.
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- W1994433641 date "2008-09-01" @default.
- W1994433641 modified "2023-09-27" @default.
- W1994433641 title "International day-of-the-week effects: An empirical examination of iShares" @default.
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- W1994433641 doi "https://doi.org/10.1016/j.irfa.2007.09.001" @default.
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