(2010) investigated relationship between risk and return in a downside risk framework and in a regular risk framework for stocks traded on The London and Paris Stock Exchanges and gave advantage to downside risk measures because they explained better

mean returns than regular risk measures, Momcilovic et al.

Jaffe and Westerfield (1985a), in their study of Japanese and Australian markets have documented Negative

mean returns on Tuesday.

Gibbons and Hess [5] found negative Monday effect from 1962 to 1978 by using

mean returns and returns of SandP 500.

MOVES on major global equity markets remain highly correlated - they all tend to move up or down synchronously - but this doesn't

mean returns have been similar across the various market groups.

The means for all the quintile portfolios with extreme winners (P1) and extreme losers (P5) and

mean returns for winner minus

mean returns for loser momentum portfolios (P1- P5) are also reported.

First, the sample estimates of

mean returns and covariances are made using an estimation window of T = 150 observations, which for monthly data corresponds to 12.5 years.

Christophe, Ferri, and Angel (2009) test the Chen and Singal (2003) hypothesis and find a weekend effect in

mean returns for Nasdaq stocks.

The hypothesis to be tested relates to equality of

mean returns across all the five trading days in the stock markets under observation.

That doesn't

mean returns can't be turned into a best practice.

Table 4 contains the relevant information from which we will construct the

mean returns and the Ginis for the portfolios to be considered.