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From T-Bills to Common Stocks: Investigating the Generality of Intra-Week Return Seasonality

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  • Flannery, Mark J
  • Protopapadakis, Aris A

Abstract

The authors investigate the extent to which intraweek seasonality still exists, and whether its pattern is uniform across thr ee stock indices and Treasury bonds with seven different maturities. They find that intraweek seasonality continues to be significant, and that its pattern is not uniform, either between the stock indices an d the Treasury bonds or even only among the bonds. A pattern shared b y stocks and bonds is that Monday returns become increasingly negativ e with maturity. These findings suggest that neither institutional no r general equilibrium explanations by themselves can explain the patt ern of intraweek seasonality. Copyright 1988 by American Finance Association.

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Bibliographic Info

Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 43 (1988)
Issue (Month): 2 (June)
Pages: 431-50

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Handle: RePEc:bla:jfinan:v:43:y:1988:i:2:p:431-50

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Cited by:
  1. Ramon P. DeGennaro & James T. Moser, 1990. "Failed delivery and daily Treasury bill returns," Working Paper 9003, Federal Reserve Bank of Cleveland.
  2. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series qt2z02z6d9, Department of Economics, UC San Diego.
  3. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  4. G. Kohers & N. Kohers & V. Pandey & T. Kohers, 2004. "The disappearing day-of-the-week effect in the world's largest equity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 167-171.
  5. Syed A. Basher & Perry Sadorsky, 2004. "Day-of-the-week effects in emerging stock markets," Finance 0407017, EconWPA.
  6. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.

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