Day of the week and the cross-section of returns

• 成果类型: Article
• 署名作者: Birru, Justin
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.06.008
• 发表日期: 2018
• 页码: 182-214
• 关键词: Investor sentiment; Return predictability; anomalies

摘要

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 Friday. 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. (C) 2018 Elsevier B.V. All rights reserved.