Day of the Week and the Cross-Section of Returns

Fisher College of Business Working Paper No. 2016-03-01

Charles A. Dice Center Working Paper No. 2016-1

104 Pages Posted: 15 Jan 2016 Last revised: 10 Feb 2017

See all articles by Justin Birru

Justin Birru

Ohio State University (OSU) - Department of Finance

Date Written: February 2017

Abstract

Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the short (long) leg experience the highest (lowest) returns on Monday. The opposite pattern is observed on Fridays. The effects are large; Monday (Friday) alone accounts for over 100% of returns for all anomalies examined for which the short (long) leg is the speculative leg. Consistent with a mispricing explanation, the pattern is driven by the speculative leg. The observed patterns are consistent with the abundance of evidence in the psychology literature that mood increases on Friday and decreases on Monday.

Keywords: anomalies, sentiment, mood, behavioral finance, market efficiency, asset pricing, stock returns, day of the week

JEL Classification: G12, G14, D84, A12

Suggested Citation

Birru, Justin, Day of the Week and the Cross-Section of Returns (February 2017). Fisher College of Business Working Paper No. 2016-03-01. Available at SSRN: https://ssrn.com/abstract=2715063 or http://dx.doi.org/10.2139/ssrn.2715063

Justin Birru (Contact Author)

Ohio State University (OSU) - Department of Finance ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States

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