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Day Of The Week Effects: A Test Of The Information Timing Hypothesis

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  • Richard A. Defusco
  • George M. McCabe
  • Ken C. Yook

Abstract

Many explanations have been offered for the negative Monday effect. An obvious conjecture is that the negative return might be due to firms timing the release of information after the market closes on Friday. We test this conjecture on a sample of 233 firms for 1986. Using a firm's board meeting date as a proxy for high information days we find that a firm's Monday return near a board meeting date is more likely to be negative than other Monday returns. Also the remaining days of the week tend to be more positive than similar days further away from the board meeting. Our results appear to explain part of the negative Monday effect.

Suggested Citation

  • Richard A. Defusco & George M. McCabe & Ken C. Yook, 1993. "Day Of The Week Effects: A Test Of The Information Timing Hypothesis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 20(6), pages 835-842, November.
    • Handle: RePEc:bla:jbfnac:v:20:y:1993:i:6:p:835-842
    DOI: 10.1111/j.1468-5957.1993.tb00296.x
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