Su Han Chan (Department of Finance, California State University-Fullerton) Wai-Kin Leung (Faculty of Business Administration, Chinese University of Hong Kong) Ko Wang (Department of Finance, California State University-Fullerton)
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It is well documented that the mean Monday return is significantly negative and is lower than the mean return on other weekdays. Using institutional stock holdings information during the 19811998 period, we document that the Monday seasonal is stronger in stocks with low institutional holdings and that the Monday return is not significantly different from the mean Tuesday to Friday returns for stocks with high institutional holdings during the 19901998 period. Our study provides direct evidence to support the belief that the Monday seasonal may be related to the trading activities of less sophisticated individual investors.
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Article provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 77 (2004) Issue (Month): 4 (October) Pages: 967-986 Download reference. The following formats are available: HTML
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