The evolution and cross-section of the day-of-the-week effect
Abstract We study the day-of-the-week effect across size deciles and in three 18-year subperiods. The results show a decline in the magnitude of the day-of-the-week effect, but the effect did not vanish. We find that the decline in the magnitude of the effect is larger in the larger market capitaliz...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2017-11-01
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| Series: | Financial Innovation |
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| Online Access: | http://link.springer.com/article/10.1186/s40854-017-0077-6 |