The Weekend Effect, ‘Reverse’ Weekend Effect, and Firm Size

Brusa, Jorge; Liu, Pu; Schulman, Craig T.

doi:10.1111/1468-5957.00325

Cited by 66 publications

(67 citation statements)

References 21 publications

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“…Nevertheless, the effect remains statistically significant in all other 8 deciles and in the EW and VW portfolios, even in the last subperiod. Consistent with other studies, we conclude that the results show a decline in the magnitude of the effect over time (e.g., Brusa et al, 2000;Gu, 2004;Kohers et al, 2004;Mehdian and Perry, 2001; Kamara, 1997, for similar evidence), but the effect has not vanished.…”

Section: Day-of-the-week Effect and Mood: Subperiod Analysissupporting

confidence: 91%

Day-of-the-week returns and mood: an exterior template approach

Zilca¹

2017

Financ Innov

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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 the day-of-the-week effect. Subperiod analysis suggests that the magnitude of the day-ofthe-week effect has declined over time. That decline, however, is not uniform across size deciles and is more pronounced in larger capitalization deciles. There is no decline though in the ability of mood to explain the day-of-the-week effect.

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Section: Day-of-the-week Effect and Mood: Subperiod Analysissupporting

confidence: 91%

Day-of-the-week returns and mood: an exterior template approach

Zilca¹

2017

Financ Innov

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“…The effect remains, however, statistically significant in all other 8 deciles and in the EW portfolio in the last subperiod. Consistent with other studies, we conclude that these results show a decline in the magnitude of the effect over time (see, for example, Brusa et al 2000;Gu 2004;Kohers et al 2004;Mehdian and Perry 2001;Kamara 1997). The evidence, however, does not suggest that the effect has vanished.…”

Section: Alternative Explanations Of the Day-of-the-week Effectsupporting

confidence: 90%

The evolution and cross-section of the day-of-the-week effect

Zilca¹

2017

Financ Innov

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We study the day-of-the-week effect across size deciles and in three 18-year subperiods. The results show a decline in the magnitude of the day-of-the-week effect, but the effect did not vanish. We find that the decline in the magnitude of the effect is larger in the larger market capitalization deciles. We also find substantial evidence that the day-of-the-week effect is characterized by a pattern of monotonically improving returns during the week, but the pattern is interrupted as market capitalization increases. The behavioral explanation for the day-of-the-week effect, based on monotonically improving mood throughout the week, is therefore a stronger candidate in smaller-market capitalization deciles.

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“…They note that the large-firm indices display a reversal of the previous Monday effect while the small-firm data produces consistent returns with the traditional Monday effect. In support of Mehdian and Perry finding's in the post-1987 data, Brusa, Liu, and Schulman (2000) document the same phenomenon of a reverse Monday effect in large-firm indices from 1990 through 1994. Gondhalekar and Mehdian (2003) maintain that the Monday effect is related to pessimism and the gloomy mood of the investors who are more willing to sell than to buy stocks on Mondays compared to the other days of the week.…”

Section: ⅱ Background and Literature Reviewsupporting

confidence: 70%

The Monday Effect in the Dow Jones Industrial Average and Its Component Stocks: A Three Period Comparative Analysis from 1962 to 2012

Bush¹,

Mehdian²

2014

Glob Bus Financ Rev

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A B S T R A C TThis article examines the Monday effect in the Dow Jones Industrial Average (DJIA) and each of its component stocks for the periods of 1962 to 1982, 2003 to 2008, and 2009 to 2012. We extend our investigation over multiple time periods to explore whether individual component securities behave in the same way as the broader index to which they are linked over time. The results provide evidence to support the presence of the Monday effect in the DJIA and its component stocks during the early period of 1962 to 1982 while no statistically significant Monday effect is found in the latter periods of 2003 to 2008 and 2009 to 2012. These findings suggest that a transformation has occurred in U.S. equity markets such that the Monday effect has reduced or disappeared in both the market-wide index and its component stocks. We conclude that this transformation is perhaps due to the faster speed of dissemination of information domestically or globally; consequently, no trading rule that is based on daily anomalies can be exploited to generate an abnormal return.

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The Weekend Effect, ‘Reverse’ Weekend Effect, and Firm Size

Cited by 66 publications

References 21 publications

Day-of-the-week returns and mood: an exterior template approach

Day-of-the-week returns and mood: an exterior template approach

The evolution and cross-section of the day-of-the-week effect

The Monday Effect in the Dow Jones Industrial Average and Its Component Stocks: A Three Period Comparative Analysis from 1962 to 2012

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