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Higher Moments of Returns, Information Seasonality, and Day of the Week Effects

J. OF ECONOMICS AND BUSINESS, Vol. 49 No. 1

Posted: 29 Sep 1997  

Raj Aggarwal

University of Akron; Federal Reserve Banks - Federal Reserve Bank of Cleveland

John D. Schratzberg

University of New Mexico

Abstract

This study documents that day of the week variations in equity returns, standard deviations, skewness, and kurtosis are significant and inversely related to firm size. Day of the week variations in earnings and dividend announcements are only a limited explanation for these equity return deviations from normality. However, consistent with investor aversion for even moments, day of the week variations in kurtosis of returns do seem to be at least a partial explanation for day of the week variations in equity returns. Thus, studies of asset returns should account for higher moments such as kurtosis to avoid mis-specifing risk.

JEL Classification: G10

Suggested Citation

Aggarwal, Raj and Schratzberg, John D., Higher Moments of Returns, Information Seasonality, and Day of the Week Effects. J. OF ECONOMICS AND BUSINESS, Vol. 49 No. 1. Available at SSRN: https://ssrn.com/abstract=11174

Raj Aggarwal (Contact Author)

University of Akron ( email )

Akron, OH 44325-4803
United States

Federal Reserve Banks - Federal Reserve Bank of Cleveland ( email )

East 6th & Superior
Cleveland, OH 44101-1387
United States

John D. Schratzberg

University of New Mexico

107 Humanitites Building
Albuquerque, NM 87131-1221
United States
Not available (Phone)
Not available (Fax)

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