A new look at the Monday effect

• 成果类型: Article
• 署名作者: Wang, K; Li, YM; Erickson, J
• 署名单位: California State University System; California State University Fullerton
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb02757.x
• 发表日期: 1997
• 页码: 2171-2186
• 关键词: STOCK RETURNS; UNITED-STATES; prices

摘要

It is well documented that expected stock returns vary with the day-of-the-week (the Monday or weekend effect). In this article we show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of the first three weeks of the month is not significantly different from zero. This result holds for most of the subperiods during the 1962-1993 sampling period and for various stock return indexes. The monthly effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain this phenomenon.