Day of the week and the cross-section of return

Justin Birru

Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the short (long) leg experience the highest (lowest) returns on Monday. The opposite pattern is observed on Fridays. The effects are large; Monday (Friday) alone accounts for over 100% of returns for all anomalies examined for which the short (long) leg is the speculative leg. Consistent with a mispricing explanation, the pattern is driven by the speculative leg. The observed patterns are consistent with the abundance of evidence in the psychology literature that mood increases on Friday and decreases on Monday

MoreLess

Year of publication:	February 2017
Authors:	Birru, Justin
Publisher:	[Columbus, Ohio] : Charles A. Dice Center for Research in Financial Economics
Subject:	anomalies \| sentiment \| mood \| behavioral finance \| market efficiency \| asset pricing \| stock returns \| day of the week \| Anlageverhalten \| Behavioural finance \| Effizienzmarkthypothese \| Efficient market hypothesis \| Kapitaleinkommen \| Capital income \| CAPM \| Kalendereffekt \| Calendar effect \| Börsenkurs \| Share price \| Theorie \| Theory \| Kapitalmarktrendite \| Capital market returns

Extent:	1 Online-Ressource (circa 104 Seiten) Illustrationen
Series:	Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2189279-9. - Vol. WP 2016, 1 Fisher College of Business Working Paper ; No. 2016-03-01 Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2412551-9. - Vol. WP 2016-03-01
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.2715063 [DOI]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; D84 - Expectations; Speculations ; A12 - Relation of Economics to Other Disciplines
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011810889