Primer Número Especial Aniversario

Abstract This study seeks to investigate the presence of the weekend effect in six Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and to show the relationship between the weekend effect and investment portfolios sorted by four financial characteristics: stock market liquidity, current liquidity ratio, market capitalization (size) and price-to-book ratio. Using an extension of the French (1980) Model and a portfolio study we identify a significant weekend effect in all countriesand found a negative relation between the weekend effect and four financial characteristics: the weekend effect is stronger in portfolios that contain stocks with low market liquidity, securities with low current liquidity ratios, small cap stocks (size)and stocks with low price-to-book ratios. As opposed to previous studies, we suggest that the weekend effect may be influenced by the investment of institutional investors in securitized loans issued by companies with value stocks and tight current liquidity ratios, and by the investment of individual investors in small-cap and illiquid stocks.