Day-of-the-week effect in anomaly returns: International evidence

摘要

This paper examines the day-of-the-week effect in anomalies (Birru, 2018) in 24 international equity markets. In particular, the returns to the quality-minus-junk (QMJ) factor on different weekdays are studied. The QMJ factor resembles the difference between speculative and non-speculative stocks in Birru (2018). We find that QMJ generates a positive (negative) premium on Monday (Friday). The QMJ premium on Monday is 2.89 times higher than its daily average. Our findings are consistent with the notion that investors are more optimistic (pessimistic) about the future prospect of speculative stocks on Friday (Monday). As such, there is a stronger preference for non-speculative (speculative) stocks on Monday (Friday), leading to the day-of-the-week effect around the world. (C) 2019 Elsevier B.V. All rights reserved.