Higher Moments of Returns, Information Seasonality, and Day of the Week Effects
University of Akron; Federal Reserve Banks - Federal Reserve Bank of Cleveland
John D. Schratzberg
University of New Mexico
J. OF ECONOMICS AND BUSINESS, Vol. 49 No. 1
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
Date posted: September 29, 1997