IDEAS home Printed from https://ideas.repec.org/a/bla/jbfnac/v21y1994i6p833-856.html

The Day‐Of‐The‐Week Anomaly: The Toronto Stock Exchange Experience

Author

Listed:
  • George Athanassakos
  • Michael J. Robinson

Abstract

This paper studies the day‐of‐the‐week effect employing Canadian stock returns from January 1, 1975 to June 30, 1989. The study finds that, as opposed to large capitalization stocks, low capitalization (thinly‐traded) stocks tend to have a larger negative return on Tuesday rather than on Monday ‐ possibly due to lags in the price adjustment of these stocks following the release of negative information. Two main issues are investigated in an attempt to explain the day‐of‐the‐week effect and its persistence over time: (a) the role of dividends, and (b) the role of information flows. The study finds that firms are much more likely to go ex‐dividend on Monday than on any other day of the week; however, after correcting for the dividend effect, Monday's returns are still significantly negative. With respect to information flows, we find evidence consistent with an information‐flows‐related explanation of the day‐of‐the‐week effect, particularly with the idea that macro announcements cause negative Monday returns.

Suggested Citation

  • George Athanassakos & Michael J. Robinson, 1994. "The Day‐Of‐The‐Week Anomaly: The Toronto Stock Exchange Experience," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 21(6), pages 833-856, September.
    • Handle: RePEc:bla:jbfnac:v:21:y:1994:i:6:p:833-856
    DOI: 10.1111/j.1468-5957.1994.tb00351.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1468-5957.1994.tb00351.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1468-5957.1994.tb00351.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jbfnac:v:21:y:1994:i:6:p:833-856. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.