Unlike previous studies, this paper finds a consistent and highly significant relationship
between beta and cross-sectional portfolio returns. The key distinction between our tests and …

This paper documents unusual return patterns for securities around holiday closings.
Returns for trading days immediately before holiday closings (pre‐holiday trading days) are …

… Pettengill (1993) provides support for the blue Monday hypothesis in an experimental study
… Pettengill and Jordan deal with this phenomenon by computing an adjusted weekday return …

The overreaction hypothesis predicts that securities suffering abnormally low returns (losers)
will subsequently experience abnormally high returns. Further, securities with abnormally …

In this study, an integrated model of return seasonality is developed and the hypothesis that
seasonality is associated with changes in relative trading volume is examined. Return …

Despite significant research efforts, the cause of the variation of equity returns across
weekdays remains a matter of debate. A recent explanation of this phenomenon depends on …

This paper examines methodological issues surrounding estimation of abnormal returns in
an event study framework We study a bias in estimating expected returns when applying the …

This paper investigates the announcement effect explanation of the weekday anomaly. In
contrast to previous studies that examine mean index returns by weekday, this paper examines …

This paper examines the January effect using returns generated from the Cowles Industrial
Index. The database cover 1871-1937. January returns are high relative to other monthly …

In this paper we examine the hypothesis that the Monday effect disappeared as a result of
arbitrage activity by institutional investor trading empowered by a reduction in transaction costs…