Abstract
It is well documented that the mean Monday return is significantly negative and is lower than the mean return on other weekdays. Using institutional stock holdings information during the 1981-1998 period, we document that the Monday seasonal is stronger in stocks with low institutional holdings and that the Monday return is not significantly different from the mean Tuesday to Friday returns for stocks with high institutional holdings during the 1990-1998 period. Our study provides direct evidence to support the belief that the Monday seasonal may be related to the trading activities of less sophisticated individual investors.
| Original language | English |
|---|---|
| Pages (from-to) | 967-986 |
| Number of pages | 20 |
| Journal | Journal of Business |
| Volume | 77 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - Oct 2004 |
| Externally published | Yes |
ASJC Scopus subject areas
- Business and International Management
- Economics and Econometrics
- Statistics, Probability and Uncertainty