You can also use date_range
for this purpose.
In [3]: pd.date_range('2011-01-05', '2011-01-09', freq=BDay())
Out[3]: DatetimeIndex(['2011-01-05', '2011-01-06', '2011-01-07'], dtype="datetime64[ns]", freq='B', tz=None)
EDIT
Or even simpler
In [7]: pd.bdate_range('2011-01-05', '2011-01-09')
Out[7]: DatetimeIndex(['2011-01-05', '2011-01-06', '2011-01-07'], dtype="datetime64[ns]", freq='B', tz=None)
Note that both start and end dates are inclusive.
Source: http://pandas.pydata.org/pandas-docs/stable/generated/pandas.bdate_range.html