Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Day of the Week Effects and Asset Returns

Michael R. Gibbons and Patrick Hess
The Journal of Business
Vol. 54, No. 4 (Oct., 1981), pp. 579-596
Stable URL: http://www.jstor.org/stable/2352725
Page Count: 18
  • Read Online (Free)
  • Download ($14.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Day of the Week Effects and Asset Returns
Preview not available

Abstract

A traditional distributional assumption regarding the returns on a financial asset specifies that the expected returns are identical for all days of the week. Contrary to this plausible assumption, this paper discovers that the expected returns on common stocks and treasury bills are not constant across days of the week. The most notable evidence is for Monday's returns where the mean is unusually low or even negative. Several explanations of the results are investigated, but none proves satisfactory. Aside from documenting significant day of the week effects, the implications of the results for tests of market efficiency are examined. While market-adjusted returns continue to exhibit day of the week effects, these effects are no longer concentrated on Monday.

Page Thumbnails

  • Thumbnail: Page 
579
    579
  • Thumbnail: Page 
580
    580
  • Thumbnail: Page 
581
    581
  • Thumbnail: Page 
582
    582
  • Thumbnail: Page 
583
    583
  • Thumbnail: Page 
584
    584
  • Thumbnail: Page 
585
    585
  • Thumbnail: Page 
586
    586
  • Thumbnail: Page 
587
    587
  • Thumbnail: Page 
588
    588
  • Thumbnail: Page 
589
    589
  • Thumbnail: Page 
590
    590
  • Thumbnail: Page 
591
    591
  • Thumbnail: Page 
592
    592
  • Thumbnail: Page 
593
    593
  • Thumbnail: Page 
594
    594
  • Thumbnail: Page 
595
    595
  • Thumbnail: Page 
596
    596