Abstract

http://ssrn.com/abstract=384702
 
 

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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

Abstract:     
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, G1

Accepted Paper Series





Not Available For Download

Date posted: May 1, 2003  

Suggested Citation

DeGennaro, Ramon P., Mondays, Fridays, and Friday the Thirteenth. Advances in Quantitative Analysis of Finance and Accounting, Vol. 2A, 1993. Available at SSRN: http://ssrn.com/abstract=384702

Contact Information

Ramon P. DeGennaro (Contact Author)
University of Tennessee, Knoxville - Department of Finance ( email )
423 Stokely Management Center
Knoxville, TN 37996
United States
865-974-1726 (Phone)
865-974-1716 (Fax)
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