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- W4366989313 abstract "Purpose This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021. Design/methodology/approach To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis. Findings Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays. Practical implications The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible. Originality/value To the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class." @default.
- W4366989313 created "2023-04-27" @default.
- W4366989313 creator A5046272055 @default.
- W4366989313 date "2023-04-26" @default.
- W4366989313 modified "2023-09-30" @default.
- W4366989313 title "Does the day-of-the-week effect exist in other asset classes? Investigation of the globally listed private equity markets" @default.
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- W4366989313 doi "https://doi.org/10.1108/sef-12-2021-0517" @default.
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