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

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  • 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
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    References listed on IDEAS

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