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The weekly pattern of commercial paper across different trading-day regimes.
- Source :
- Quantitative Finance; Sep2011, Vol. 11 Issue 9, p1273-1283, 11p, 1 Color Photograph, 7 Charts, 3 Graphs
- Publication Year :
- 2011
-
Abstract
- The article presents a study on the pattern of commercial paper (CP) on different trading days in Taiwan. The study utilizes the distribution-free stochastic dominance (SD) theory to determine if the day-of-the-week effect, also known as the weekend effect, exists and if the changes in trading days affect the pattern of CP. Results reveal that higher returns of CP appear on the day prior to the last trading day and SD theory can be used as investment strategy to enhance the investors' wealth.
- Subjects :
- NEGOTIABLE instruments
WEEKEND Effect (Finance)
RATE of return
INVESTMENT policy
Subjects
Details
- Language :
- English
- ISSN :
- 14697688
- Volume :
- 11
- Issue :
- 9
- Database :
- Complementary Index
- Journal :
- Quantitative Finance
- Publication Type :
- Academic Journal
- Accession number :
- 65125856
- Full Text :
- https://doi.org/10.1080/14697680903358230