Sentiment changes and the Monday effect

Karam Kim and Doojin Ryu

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: We examine whether investor sentiment changes explain the decrease in stock prices after weekends, also known as the Monday effect. Absolute changes in sentiment significantly and positively impact stock returns, whereas its positive impact declines after weekends. The negative stock returns on Mondays disappear after controlling for the impact of over-the-weekend sentiment changes under the pessimistic sentiment.

Keywords: Machine-learning; Monday effect; News sentiment; Sentiment change; Weekend effect (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000368

DOI: 10.1016/j.frl.2022.102709

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