The Day of the Week Effect

Gianluca Mattarocci

Chapter 3 in Anomalies in the European REITs Market, 2014, pp 32-45 from Palgrave Macmillan

Abstract: Abstract The return distribution of any security does not necessarily have to be equal for all the days of the week and the assumption of the absence of any recurrent trend on some days of the week is only a simplified statistical assumption that is not required, even in a market equilibrium scenario (Gibbons and Hess, 1981).

Keywords: Financial Market; Mutual Fund; Institutional Investor; Investment Strategy; Risky Asset (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-1-137-39092-9_4

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DOI: 10.1057/9781137390929_4

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