After decades of debate, a professor at Arizona State University's W.P. Carey School of Business says he and a colleague have debunked a stock-market myth.

The so-called “Weekend Effect” refers to the tendency of stock returns to be significantly lower on Mondays than the preceding Fridays. Some theories point to companies releasing bad news after the markets close on Fridays, leading to lower prices on Monday, but new research reveals the “Weekend Effect” hasn’t existed for years.

The theory always gnawed at finance Professor Geoffrey Smith. If you know companies release bad news on Fridays, then you would just buy on Monday evening because everything was selling at a discount.

“It doesn’t make sense that investors wouldn’t recognize that and try and profit from it,” he said.

So, Smith and Russel Robins of Tulane University crunched numbers.  They examined Monday returns for 1,000 stocks between 1926 and 2014.

For the entire period, they did find a “Weekend Effect.” Overall, Monday returns were down an average of 12.33 points, or 0.12 percent. But, they also found a break date. Since 1975, Smith says the drop in Monday returns has been insignificant, down an average of 5 points, or 0.05 percent.

“We don’t offer an explanation because that would require us to speculate on the cause,” he said. “We’re just pointing out that it’s not statistically constant.”

Smith says their research, published in the Critical Finance Review, is believed to be the first to examine returns over such a lengthy period.

“What we showed basically is that it’s really just a freaky statistical thing and that it really has disappeared many, many years ago,” he said. “If you’re going to continue to research this and try and find explanations and all that stuff you have to consider the possibility that it’s just due to the time period you’re looking at. So, if you look at a different time period maybe it’s not negative or if you look at another time period maybe it’s extremely negative. But it’s only because of the time period you’re looking at, not because it’s a real thing.”

EDITOR'S NOTE: This story has been corrected to reflect the percentage drop in Monday returns.