Mondays, Fridays, and Friday the Thirteenth
Ramon P. DeGennaro
University of Tennessee, Knoxville - Department of Finance
Advances in Quantitative Analysis of Finance and Accounting, Vol. 2A, 1993
Previous research has established that stock returns tend to be low on Mondays and high on Fridays, and suggests that stock returns on Friday the thirteenth may be less than on other Fridays. We find that in a longer time series than previously studied, this difference is no longer significant at conventional levels. More important, we find significantly positive returns in six-month Treasury bills and in three different maturities of government bonds. The magnitude of this effect increases with maturity. We uncover no statistically reliable evidence of differences between Friday the thirteenths and other Fridays in three-month Treasury bills, three different futures contracts or in federal funds.
Keywords: markets, anomalies, stock returns, treasury bill returns, futures returns
JEL Classification: G0, G1Accepted Paper Series
Date posted: May 1, 2003
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo7 in 0.203 seconds