Day of the week and the cross-section of returns

被引：90

作者：

Birru, Justin ^{[1
]}

机构：

[1] Ohio State Univ, Fisher Coll Business, 2100 Neil Ave, Columbus, OH 43210 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2018年 / 130卷 / 01期

关键词：

Investor sentiment; Return predictability; Anomalies; UNITED-STATES SUICIDES; DAY-OF-WEEK; STOCK-RETURNS; INVESTOR SENTIMENT; INSTITUTIONAL INVESTORS; MYOCARDIAL-INFARCTION; EMPIRICAL-EVIDENCE; EXPECTED RETURNS; ASSET PRICES; RISK-FACTORS;

D O I：

10.1016/j.jfineco.2018.06.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：182 / 214

页数：33

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