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Record W7095777528

In a recent provocative paper in this journal,

2013· article· en· W7095777528 on OpenAlexaboutno aff

Bibliographic record

Venuenot available
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Markets and Investment Strategies
Canadian institutionsnot available
Fundersnot available
KeywordsHeteroscedasticityOutlierNull hypothesisOddsVolatility (finance)Stock (firearms)Alternative hypothesisNames of the days of the weekBayesian probability
DOInot available

Abstract

fetched live from OpenAlex

hypothesis that the mean weekend return following changes in daylight saving time equals the mean weekend return throughout the rest of the year. The authors report that the average Friday-to-Monday return on daylight-saving weekends is 200–500 percent larger than the average negative return for the other weekends of the year. The � nding appears to hold not only in the United States and Canada where daylightsaving date patterns are similar, but also in the United Kingdom, whose patterns ostensibly differ from those in North America. The results also appear robust to alternative statistical methods based on time-varying conditional heteroscedasticity and/or bootstrapping. This paper provides further robustness tests of the results reported by Kamstra et al. I show that the difference between mean weekend returns for daylight-saving and non-daylightsaving weekends is signi � cant only for fall changes in daylight saving time and that the fall difference is driven by two outliers associated with international stock market crises. Two separate adjustments for the heteroscedasticity these outliers induce cause the signi � cance of the fall difference to vanish. The total sample (spring plus fall) difference remains marginally signi � cant for some indexes after heteroscedasticity adjustments with classical � xed-level hypothesis tests. However, Bayesian sample-size adjustments produce posterior odds ratios that consistently favor the null hypothesis of no daylight-saving anomaly over the alternative that the anomaly exists. I also fail to reject the hypothesis that daylight-saving and nondaylight-saving weekend returns have equal distributions. For these reasons, I question the

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.009
metaresearch head score (Gemma)0.051
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesInsufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Not applicable · Consensus signal: Not applicable
GenreCandidate signal: Other · Consensus signal: none
Teacher disagreement score0.987
Threshold uncertainty score0.048

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0090.051
Meta-epidemiology (narrow)0.0010.000
Meta-epidemiology (broad)0.0010.002
Bibliometrics0.0030.002
Science and technology studies0.0010.002
Scholarly communication0.0040.003
Open science0.0020.002
Research integrity0.0050.007
Insufficient payload (model declined to judge)0.0130.004

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.031
GPT teacher head0.218
Teacher spread0.187 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

Study designNot applicable
Domainnot available
GenreOther

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations0
Published2013
Admission routes1
Has abstractyes

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