haku: @indexterm autocorrelation / yhteensä: 12
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| Tekijä: | Sun, Q. Tong, W. H. S. |
| Otsikko: | Another New Look at the Monday Effect |
| Lehti: | Journal of Business Finance and Accounting
2002 : VOL. 29:7-8, p. 1123-1147 |
| Asiasana: | AUTOCORRELATION LIQUIDITY ANALYTICAL REVIEW |
| Kieli: | eng |
| Tiivistelmä: | The authors of the article link up the findings of Abraham and Ikenberry (1994) and Wang, Li and Erickson (1997) by showing that negative Monday returns concentrate on days 18 to 26 of a month and they can be completely explained in the statistical sense by the negative returns on the previous Friday. More importantly, the authors of the article observe a 'week-four effect'. Not only the returns on Mondays but also returns on other days are lower during the fourth week of a month. The authors of the article suggest that liquidity selling by individual investors may be the reason. The paper provides a substantial list of references on this subject. |
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