2017
DOI: 10.1186/s40854-017-0079-4
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Day-of-the-week returns and mood: an exterior template approach

Abstract: Rule-and template-based pattern-recognition methods are alternative ways to identify various patterns in stock prices alongside more traditional econometric tools. In this study, we generate an exterior template of mood scores from two perplexingly similar samples of mood scores 50 years apart. The mood scores template enables us to deploy a direct test of the behavioral explanation for the day-of-the-week effect. Our evidence shows that the day-of-the-week mood template is a potentially valid explanation of t… Show more

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Cited by 3 publications
(1 citation statement)
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References 49 publications
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“…however, mitigates the information hypothesis by stipulating that firm earnings and dividends can only explain 2.3 % and 1.1 %, in turn, of the week effect. Some papers also approach the problem by a behavioral analysis Zilca (2017). for example, designed four different mood templates combining two similar approaches to identify and explain the day-of-the-week effect in the in U.S. stock markets.…”
mentioning
confidence: 99%
“…however, mitigates the information hypothesis by stipulating that firm earnings and dividends can only explain 2.3 % and 1.1 %, in turn, of the week effect. Some papers also approach the problem by a behavioral analysis Zilca (2017). for example, designed four different mood templates combining two similar approaches to identify and explain the day-of-the-week effect in the in U.S. stock markets.…”
mentioning
confidence: 99%