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Day of the week and the cross-section of returns

Citations

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Cited by:

  1. Chiah, Mardy & Long, Huaigang & Zaremba, Adam & Umar, Zaghum, 2023. "Trade competitiveness and the aggregate returns in global stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 148(C).
  2. Edmans, Alex & Fernandez-Perez, Adrian & Garel, Alexandre & Indriawan, Ivan, 2022. "Music sentiment and stock returns around the world," Journal of Financial Economics, Elsevier, vol. 145(2), pages 234-254.
  3. Yuan Li, 2022. "Mood Beta, Sentiment and Stock Returns in China," SAGE Open, , vol. 12(1), pages 21582440221, February.
  4. Lee, Deok-Hyeon & Min, Byoung-Kyu & Xiao, Yuchao, 2020. "Testing the mood seasonality hypothesis: Evidence from down under," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
  5. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Gonzalez-Fernandez, Marcos & Miffre, Joelle, 2020. "Fear of hazards in commodity futures markets," Journal of Banking & Finance, Elsevier, vol. 119(C).
  6. Hadhri, Sinda, 2023. "Do cryptocurrencies feel the music?," International Review of Financial Analysis, Elsevier, vol. 89(C).
  7. Hirshleifer, David & Jiang, Danling & DiGiovanni, Yuting Meng, 2020. "Mood beta and seasonalities in stock returns," Journal of Financial Economics, Elsevier, vol. 137(1), pages 272-295.
  8. Ali, Fahad & Ülkü, Numan, 2020. "Weekday seasonality of stock returns: The contrary case of China," Journal of Asian Economics, Elsevier, vol. 68(C).
  9. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2021. "Investor heterogeneity and momentum-based trading strategies in China," International Review of Financial Analysis, Elsevier, vol. 74(C).
  10. Chiah, Mardy & Hu, Xiaolu & Zhong, Angel, 2022. "Photo sentiment and stock returns around the world," Finance Research Letters, Elsevier, vol. 46(PB).
  11. Autore, Don M. & Jiang, Danling, 2019. "The preholiday corporate announcement effect," Journal of Financial Markets, Elsevier, vol. 45(C), pages 61-82.
  12. Fernandez-Perez, Adrian & Garel, Alexandre & Indriawan, Ivan, 2020. "Music sentiment and stock returns," Economics Letters, Elsevier, vol. 192(C).
  13. Merz, Oliver & Flepp, Raphael & Franck, Egon, 2021. "Sonic Thunder vs. Brian the Snail: Are people affected by uninformative racehorse names?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 93(C).
  14. Jie Cao & Tarun Chordia & Xintong Zhan, 2021. "The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?," Management Science, INFORMS, vol. 67(12), pages 7866-7887, December.
  15. Dohyun Chun & Donggyu Kim, 2021. "State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data," Papers 2102.13404, arXiv.org.
  16. Liang, Qi & Sun, Wenjia & Li, Wenyu & Yu, Fengyan, 2021. "Media effects matter: Macroeconomic announcements in the gold futures market," Economic Modelling, Elsevier, vol. 96(C), pages 1-12.
  17. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
  18. Richards, Daniel W. & Willows, Gizelle D., 2019. "Monday mornings: Individual investor trading on days of the week and times within a day," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 105-115.
  19. Baur, Dirk G. & Cahill, Daniel & Godfrey, Keith & (Frank) Liu, Zhangxin, 2019. "Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume," Finance Research Letters, Elsevier, vol. 31(C), pages 78-92.
  20. Li, Wenhui & Zhu, Qi & Wen, Fenghua & Nor, Normaziah Mohd, 2022. "The evolution of day-of-the-week and the implications in crude oil market," Energy Economics, Elsevier, vol. 106(C).
  21. Guo, Shuxin & Yuan, Yue & Ma, Feng, 2022. "Cross-sectional seasonalities and seasonal reversals: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 82(C).
  22. Wang, Chen & Zhao, Kevin, 2024. "Pre-Refunding Announcement Gains in U.S. Treasurys," SocArXiv xucf8, Center for Open Science.
  23. Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
  24. Guo, Jiaqi & Holmes, Phil, 2022. "Does market openness mitigate the impact of culture? An examination of international momentum profits and post-earnings-announcement drift," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  25. Chan, Kam Fong & Marsh, Terry, 2022. "Asset pricing on earnings announcement days," Journal of Financial Economics, Elsevier, vol. 144(3), pages 1022-1042.
  26. Hirshleifer, David & Sheng, Jinfei, 2022. "Macro news and micro news: Complements or substitutes?," Journal of Financial Economics, Elsevier, vol. 145(3), pages 1006-1024.
  27. Sakhr Miss & Michel Charifzadeh & Tim A. Herberger, 2020. "Revisiting the monday effect: a replication study for the German stock market," Management Review Quarterly, Springer, vol. 70(2), pages 257-273, May.
  28. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2021. "The day-of-the-week-effect on the volatility of commodities," Resources Policy, Elsevier, vol. 71(C).
  29. Li, Yan & Li, Weiping, 2021. "Firm-specific investor sentiment for the Chinese stock market," Economic Modelling, Elsevier, vol. 97(C), pages 231-246.
  30. Algieri, Bernardina & Lawuobahsumo, Kokulo & Leccadito, Arturo, 2024. "Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets," LIDAM Discussion Papers LFIN 2024001, Université catholique de Louvain, Louvain Finance (LFIN).
  31. Kaplanski, Guy, 2023. "The race to exploit anomalies and the cost of slow trading," Journal of Financial Markets, Elsevier, vol. 62(C).
  32. Chiah, Mardy & Zhong, Angel, 2021. "Tuesday Blues and the day-of-the-week effect in stock returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
  33. Bianchi, Robert J. & Fan, John Hua & Miffre, Joëlle & Zhang, Tingxi, 2023. "Exploiting the dynamics of commodity futures curves," Journal of Banking & Finance, Elsevier, vol. 154(C).
  34. Soo Hong Chew & Haoming Liu & Alberto Salvo, 2021. "Adversity-hope hypothesis: Air pollution raises lottery demand in China," Journal of Risk and Uncertainty, Springer, vol. 62(3), pages 247-280, June.
  35. Fetherolf, Raylin & Lovelace, Kelley Bergsma, 2023. "Dimensions of national culture and R2 around the world," Journal of Banking & Finance, Elsevier, vol. 154(C).
  36. Cheema, Arbab K. & Eshraghi, Arman & Wang, Qingwei, 2023. "Macroeconomic news and price synchronicity," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 390-412.
  37. Ran, Rong & Li, Cheng & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2022. "State-dependent psychological anchors and momentum," Finance Research Letters, Elsevier, vol. 46(PB).
  38. Arbab Khalid Cheema & Wenjie Ding & Qingwei Wang, 2023. "The cross-section of January effect," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 513-530, October.
  39. Fang, Xuyun & Jiang, Zhiqian & Liu, Baixiao & McConnell, John J. & Zhou, Mingshan, 2022. "Ease-of-processing heuristics and asset prices: Evidence from the exchange-traded repo market in China," Journal of Financial Markets, Elsevier, vol. 59(PB).
  40. Gould, John & Yang, Joey W. & Singh, Ranjodh & Yeo, Ben, 2023. "The seasonality of lottery-like stock returns," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 383-400.
  41. Yasmeen Idilbi-Bayaa & Mahmoud Qadan, 2022. "Tell Me Why I Do Not Like Mondays," Mathematics, MDPI, vol. 10(11), pages 1-22, May.
  42. Huynh, Nhan & Phan, Hoa, 2023. "Emotions in the crypto market: Do photos really speak?," Finance Research Letters, Elsevier, vol. 55(PB).
  43. Keloharju, Matti & Linnainmaa, Juhani T. & Nyberg, Peter, 2021. "Are return seasonalities due to risk or mispricing?," Journal of Financial Economics, Elsevier, vol. 139(1), pages 138-161.
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