Mondays, Fridays, and Friday the Thirteenth
Posted: 1 May 2003
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
Suggested Citation: Suggested Citation