We make tests on day-of-the-week stock market return patterns for Japan. We find that until the 1990s, Tuesdays have abnormal losses; in the 1990s, Tuesday losses disappear and Mondays have abnormal losses. Tests find that volume changes drive out the Monday loss.

We study four asset pricing anomalies: market size, contrarian, momentum, and book-to-market premia. We first control for two biases. We control for delisting effects, which create a survivorship bias. We then control for microstructure distortions from the bid-ask spread bounce, which upwardly...

In a recent article Aharony and Swary considered the synchronous nature of earnings and dividends announcements in examination of the information content of dividend hypothesis. They concluded that their results support the information content of dividends hypothesis—that announcements of...