Same-Weekday Momentum

39 Pages Posted: 25 Apr 2024

See all articles by Zhi Da

Zhi Da

University of Notre Dame - Mendoza College of Business

Xiao Zhang

University of Maryland - Robert H. Smith School of Business

Date Written: March 14, 2024

Abstract

A disproportionately large fraction (70%) of stock momentum reflects return continuation on the same weekday (e.g., Mondays to Mondays), or the same-weekday momentum. Even accounting for partial reversals in other weekdays, the same-weekday momentum still contributes to a significant fraction (20% to 60%) of the momentum effect. This pattern is robust to different size filters, weighing schemes, time periods, and sample cuts. The same-weekday momentum is hard to square with traditional momentum theories based on investor mis-reaction. Instead, we provide direct and novel evidence that links it to within-week seasonality and persistence in institutional trading. Overall, our findings highlight institutional trading as an important driver of the stock momentum.

Keywords: Momentum, Same-Weekday, Return Seasonality

JEL Classification: G12

Suggested Citation

Da, Zhi and Zhang, Xiao, Same-Weekday Momentum (March 14, 2024). Available at SSRN: https://ssrn.com/abstract=4806275 or http://dx.doi.org/10.2139/ssrn.4806275

Zhi Da

University of Notre Dame - Mendoza College of Business ( email )

Notre Dame, IN 46556-5646
United States

Xiao Zhang (Contact Author)

University of Maryland - Robert H. Smith School of Business ( email )

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