Journal of Banking & Finance Vol. 22 No. 5 1998
US day-of-the-week effects and asymmetric responses to macroeconomic news
Abstract
This study considers the joint influence of contemporaneous and lagged responses to macroeconomic news in explaining US day-of-the-week effects. Macroeconomic news is measured by movements in large firms' stock prices. The average response of smaller stocks to these movements is abnormally high on Mondays, especially in down markets. After corrections for these asymmetries, the US day-of-the-week effect weakens substantially for most size-ranked portfolios in most of the six approximately equal subperiods between 1962 and 1992. These findings suggest that seasonals in processing macroeconomic news account for much of the day-of-the-week effect in equity returns.
- DOI
- 10.1016/s0378-4266(98)00023-5
- Volume
- 22
- Issue
- 5
- Pages
- 513-534
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib