Title

Monday returns and asset pricing

Document Type

Article

Publication Title

Journal of Economics and Finance

Abstract

The seasonal patterns observed on Monday stock returns are still unexplained by different asset pricing models. We attempt to fill this gap in the finance literature by using the Fama-French (Journal of Financial Economics 33:3-56, 1993) risk factors to explain the Monday seasonal. The results in the study show that Monday returns are explained by risk factors such as the market return, the size of the firms, and the book-to-market ratios of firms. © 2009 Springer Science+Business Media, LLC.

First Page

332

Last Page

347

DOI

10.1007/s12197-009-9100-8

Publication Date

7-1-2011

This document is currently not available here.

Share

COinS