Day-of-the-week effect in anomaly returns: International evidence

Mardy Chiah and Angel Zhong

Economics Letters, 2019, vol. 182, issue C, 90-92

Abstract: This paper examines the day-of-the-week effect in anomalies (Birru, 2018) in 24 international equity markets. In particular, the returns to the quality-minus-junk (QMJ) factor on different weekdays are studied. The QMJ factor resembles the difference between speculative and non-speculative stocks in Birru (2018). We find that QMJ generates a positive (negative) premium on Monday (Friday). The QMJ premium on Monday is 2.89 times higher than its daily average. Our findings are consistent with the notion that investors are more optimistic (pessimistic) about the future prospect of speculative stocks on Friday (Monday). As such, there is a stronger preference for non-speculative (speculative) stocks on Monday (Friday), leading to the day-of-the-week effect around the world.

Keywords: International evidence; Seasonality; Stock returns; Investor sentiment (search for similar items in EconPapers)
JEL-codes: F30 G12 G15 G40 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176519302010
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:182:y:2019:i:c:p:90-92

DOI: 10.1016/j.econlet.2019.05.042

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().