Monday returns and asset pricing |
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| Authors: | Jorge Brusa Wayne Y. Lee Pu Liu |
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| Affiliation: | (1) Department of Accounting, Economics and Finance, College of Business Administration, Texas A&M International University, 5201 University Boulevard, Laredo, TX 78041-1900, USA;(2) Sam M. Walton College of Business, University of Arkansas, Fayetteville, AR 72701, USA;(3) Department of Finance, Sam M. Walton College of Business, University of Arkansas, Fayetteville, AR 72701, USA |
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| 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. |
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