A New Look at the Monday Effect
Опубликовано на портале: 25-10-2007
Journal of Finance.
1997.
Vol. 52.
No. 5.
P. 2171-2186.
Тематические разделы:
It is well documented that expected stock returns vary with the day-of-the-week (the
Monday or weekend effect). In this article we show that the well-known Monday effect
occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In
addition, the mean Monday return of the first three weeks of the month is not significantly
different from zero. This result holds for most of the subperiods during the 1962-1993
sampling period and for various stock return indexes. The monthly
effect reported by Ariel (1987) and Lakonishok and Smidt (1988) cannot fully explain
this phenomenon.
Полный текст данной статьи можно найти в библиотеке Jstor, имеющие к ней доступ могут могут воспользоваться этой ссылкой.
Ключевые слова
См. также:
Journal of Business.
1981.
Vol. 54.
No. 4.
P. 579-596.
[Статья]
Review of Financial Studies.
1989.
Vol. 2.
No. 2.
P. 189-223.
[Статья]
Journal of Economics & Finance.
2001.
Vol. 25.
No. 2.
P. 181-193.
[Статья]
Finance India.
1996.
Vol. X.
No. 3.
P. 605-616.
[Статья]
Quarterly Journal of Business & Economics.
2003.
Vol. 42.
No. 3/4.
P. 3-28.
[Статья]
The Journal of Financial Research.
2000.
Vol. 13.
No. 4.
P. 495-522.
[Статья]