I'm rather new to the actual practice of this kind of analysis, but it just seems wrong to me to throw Mondays' returns in with the rest without accounting for the passage of time on the weekend when the market was closed, and yet I seem to come across analyses from time to time that do exactly that for daily returns, and simply assume so many trading days per month or per year.
To correct for this, I would take the difference in the natural logarithm of an adjusted security price from one trading day to the next, divide it by $\sqrt d$, and assign that data point a weight of $\sqrt d$, where $d$ is the number of calendar days elapsed. Then I could express the mean, variance, and all other moments (if they exist!) on a calendar day basis. Is this a standard practice?