Monday effect in Brazilian hedge funds with immediate redemption

Samuel de Paiva Naves Mamede and Rodrigo Fernandes Malaquias

Research in International Business and Finance, 2017, vol. 39, issue PA, 47-53

Abstract: The weekday effect is characterized by a behaviour pattern in stock returns connected with certain days of the week. Several studies on this subject have been published in conferences and journals. However, the analysis of this anomaly with returns of investment funds still represents an opportunity for new studies. Thus, the aim of this research is to analyse the Monday Effect in Brazilian hedge funds that do not have redemption restrictions. We collected daily returns from 2162 hedge funds, comprising a total of 2,689,791 observations from January/2005 to March/2014. To test the hypotheses, we used panel data, and we also employed a quantitative test to evaluate the presence/absence of unit root. The main results showed that, on average, Mondays showed lower returns than the other days of the week. Furthermore, inflation rate seems to be a relevant variable to better understand this result with data from emerging economies.

Keywords: Investment funds; Calendar effect; Efficient market hypothesis (search for similar items in EconPapers)
JEL-codes: G1 G2 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:39:y:2017:i:pa:p:47-53

DOI: 10.1016/j.ribaf.2016.07.032

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