论文信息 - New Findings Regarding Day‐of‐the‐Week Returns over Trading and Non‐Trading Periods: A Note

New Findings Regarding Day‐of‐the‐Week Returns over Trading and Non‐Trading Periods: A Note

This paper decomposes daily close to close returns into trading day and non-trading day returns. We discover that all of the average negative returns from Friday close to Monday close documented in the literature for stock market indexes occurs during the non-trading period from Friday close to Monday open. In addition, average trading day returns (open to close) are identical for all days of the week. January/firm size/turn-of-the-year anomalies are shown to be interrelated with day-of-the-week returns.

Richard J. Rogalski

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