Same-Weekday Momentum

Abstract

A disproportionately large fraction (70%) of the stock momentum reflects return continuation on the same weekday (e.g., Mondays to Mondays), or the same-weekday momentum. Even after accounting for partial reversals on other weekdays, the same-weekday momentum still contributes to a significant fraction (20% to 60%) of the momentum effect. The same-weekday momentum is hard to square with traditional momentum theories based on investor misreaction. Instead, we provide direct and novel evidence linking it to within-week seasonality and persistence in institutional trading. We also offer the first piece of direct evidence that seasonal fund flow drives seasonal institutional trading.

Keywords: Momentum, Same-Weekday, Return Seasonality

JEL Classification: G12