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A New Look at the Monday Effect

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Author Info
 Wang, Ko
Li, Yuming
Erickson, John

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Abstract

It is well documented that expected stock returns vary with the day of the week (the Monday or weekend effect). In this article, the authors show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of the first three weeks of the month is not significantly different from zero. This result holds for most of the subperiods during the 1962-93 sampling period and for various stock return indexes. The monthly effect reported by Robert A. Ariel (1987) and Josef Lakonishok and Seymour Smidt (1988) cannot fully explain this phenomenon. Copyright 1997 by American Finance Association.

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File URL: http://links.jstor.org/sici?sici=0022-1082%28199712%2952%3A5%3C2171%3AANLATM%3E2.0.CO%3B2-6&origin=repec
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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 52 (1997)
Issue (Month): 5 (December)
Pages: 2171-86
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Handle: RePEc:bla:jfinan:v:52:y:1997:i:5:p:2171-86

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  1. Paul B. McGuinness, 2006. "'Turn-of the-month’ return effects for small cap Hong Kong stocks," Applied Economics Letters, Taylor and Francis Journals, vol. 13(14), pages 891-898, November. [Downloadable!] (restricted)
  2. J. Michael Pinegar, 2002. "Losing Sleep at the Market: Comment," American Economic Review, American Economic Association, vol. 92(4), pages 1251-1256, September. [Downloadable!] (restricted)
  3. Al-Rjoub, Samer & Hassan, M. Kabir & Varela, Oscar Albert, 2003. "January reversal in the US weekend effect," Working Papers 2003-05, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  4. Andrew Worthington, 2003. "Losing sleep at the market: An empirical note on the daylight saving anomaly in Australia," School of Economics and Finance Discussion Papers and Working Papers Series 146, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  5. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," Working Paper 2005-02, Federal Reserve Bank of Atlanta. [Downloadable!]
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  6. Oded Galor & Omer Moav & Dietrich Vollrath, 2004. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," Working Papers 2003-04, Brown University, Department of Economics. [Downloadable!]
    Other versions:
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