The Day-of-the-Week Effect in Stock Returns over Business Cycles

1989 ◽  
Vol 45 (4) ◽  
pp. 74-77 ◽  
Author(s):  
Kartono Liano ◽  
Benton E. Gup
Keyword(s):  
Business Cycles ◽  
Stock Returns ◽  
Day Of The Week

Intraday Stock Returns Patterns Revisited. A Day of the Week and Market Trend Approach

2020 ◽  
Author(s):  
Constantina Kottaridi ◽  
Emmanouil Skarmeas ◽  
Vasileios Pappas
Keyword(s):  
Stock Returns ◽  
Day Of The Week

DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER?

2016 ◽  
Vol 11 (02) ◽  
pp. 1650008
Author(s):  
SWARN CHATTERJEE ◽  
AMY HUBBLE
Keyword(s):  
Stock Returns ◽  
Small Firm ◽  
Economic Cycles ◽  
Trading Decisions ◽  
Portfolio Managers ◽  
Small Investors ◽  
Garch Processes ◽  
Day Of The Week ◽  
Firm Effect ◽  
Daily Returns

This study examines the presence of the day-of-the-week effect on daily returns of biotechnology stocks over a 16-year period from January 2002 to December 2015. Using daily returns from the NASDAQ Biotechnology Index (NBI), we find that the stock returns were the lowest on Mondays, and compared to the Mondays the stock returns were significantly higher on Wednesdays, Thursdays, and Fridays. The day-of-the-week effect on returns of biotechnology stocks remained significant even after controlling for the Fama–French and Carhart factors. Moreover, the results from using the asymmetric generalized autoregressive conditional heteroskedastic (GARCH) processes reveal that momentum and small-firm effect were positively associated with the market risk-adjusted returns of the biotechnology stocks during this period. The findings of our study suggest that active portfolio managers need to consider the day of the week, momentum, and small-firm effect when making trading decisions for biotechnology stocks. Implications for portfolio managers, small investors, scholars, and policymakers are included.

The value relevance of capital expenditures and the business cycle

2018 ◽  
Vol 35 (3) ◽  
pp. 386-406 ◽  
Author(s):  
Sungsoo Kim ◽  
Brandon byunghwan Lee
Keyword(s):  
Business Cycles ◽  
Stock Returns ◽  
Value Relevance ◽  
Financial Data ◽  
Capital Expenditures ◽  
Capital Investments ◽  
Content Type ◽  
Market Participants ◽  
Business Conditions

Purpose This paper aims to clarify the relationship between corporate capital investments and business cycles. Specifically, a major purpose of this paper is to investigate whether there are inherent differences in corporate investment patterns and whether the stock market exhibits different reactions to the value relevance of capital expenditures across different business conditions. Design/methodology/approach The authors use pooled ordinary least square regressions with archival stock price data and financial data from CRSP and Compustat. The authors regress buy and hold returns on the main test variables and control variables that are identified to be related to the investment literature. Findings This paper provides empirical evidence that US firms’ capital expenditures are more value relevant to capital market participants during expansionary business cycles and, conversely, less value relevant during contractionary business cycles. This evidence validates previous literature that has found the information content of capital expenditures to be uncertain and cyclical in nature. Research limitations/implications The main limitation of this paper, as with other work dealing with stock returns and archived financial data, is that the authors try to match stock returns with contemporaneous financial data in an association study context. The precise mapping in this methodology is always challenging and has been questioned in the literature. Practical implications This paper has various implications for capital market participants. Capital expenditures are good news for investors, but they will make a better investment when firms make capital investments during an expansionary period. Creditors deciding whether to extend credit to firms would benefit from more accurate information on the viability of long-term investment. The results also suggest to creditors that an excessive number of loans during the contractionary period may be suboptimal because firms’ returns on capital investment are smaller in that period than in the expansionary period. Social implications Given the valuation of implications of long-term capital investments across different business conditions, this paper sheds light on asset allocations for mutual funds, institutional investors who are entrusted with investors’ investments including retirement funds. Originality/value This paper fulfils an identified need to study how capital investments are valued differently across different business conditions.

Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data

2021 ◽  
pp. 031289622110102
Author(s):  
Mousumi Bhattacharya ◽  
Sharad Nath Bhattacharya ◽  
Sumit Kumar Jha
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
High Frequency ◽  
Jel Classification ◽  
Exogenous Shock ◽  
Intraday Data ◽  
Day Of The Week ◽  
Holiday Effects ◽  
Indian Stock Market ◽  
The Impact

This article examines variations in illiquidity in the Indian stock market, using intraday data. Panel regression reveals prevalent day-of-the-week, month, and holiday effects in illiquidity across industries, especially during exogenous shock periods. Illiquidity fluctuations are higher during the second and third quarters. The ranking of most illiquid stocks varies, depending on whether illiquidity is measured using an adjusted or unadjusted Amihud measure. Using pooled quantile regression, we note that illiquidity plays an important asymmetric role in explaining stock returns under up- and down-market conditions in the presence of open interest and volatility. The impact of illiquidity is more severe during periods of extreme high and low returns. JEL Classification: G10, G12

Business cycles and the pre-holiday effect in stock returns

1994 ◽  
Vol 4 (3) ◽  
pp. 171-174 ◽  
Author(s):  
Kartono Liano ◽  
Larry R. White
Keyword(s):  
Business Cycles ◽  
Stock Returns ◽  
Holiday Effect

scholarly journals Mood Sensitive Stocks and Sustainable Cross-Sectional Returns During the COVID-19 Pandemic: An Analysis of Day of the Week Effect in the Chinese A-Share Market

2021 ◽  
Vol 12 ◽  
Author(s):  
Qurat ul Ain ◽  
Tamoor Azam ◽  
Tahir Yousaf ◽  
Muhammad Zeeshan Zafar ◽  
Yasmeen Akhtar
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Excess Returns ◽  
Chinese Market ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Day Of The Week ◽  
Stock Market Anomalies ◽  
New Evidence ◽  
A Share

This study examines two stock market anomalies and provides strong evidence of the day-of-the-week effect in the Chinese A-share market during the COVID-19 pandemic. Specifically, we examined the Quality minus Junk (QMJ) strategy return on Monday and FridayQuality stocks mean portfolio deciles that earn higher excess returns. As historical evidences suggest that less distressed/safe stocks earn higher excess returns (Dichev, 1998).. The QMJ factor is similar to the division of speculative and non-speculative stocks described by Birru (2018). Our findings provide evidence that the QMJ strategy gains negative returns on Fridays for both anomalies because the junk side is sensitive to an elevated mood and, thus, performs better than the quality side of portfolios on Friday. Our findings are also consistent with the theory of investor sentiment which asserts that investors are more optimistic when their mood is elevated, and generally individual mood is better on Friday than on other days of the week. Therefore, the speculative stocks earned higher sustainable stock returns during higher volatility in Chinese market due to COVID-19. Intrinsically, new evidence emerges on an inclined strategy to invest in speculative stocks on Fridays during the COVID-19 pandemic to gain sustainable excess returns in the Chinese A-share market.

Day of the Week Patterns in Stock Returns: the Canadian Evidence

2009 ◽  
Vol 5 (4) ◽  
pp. 51-55 ◽  
Author(s):  
Trevor W. Chamberlain ◽  
C. Sherman Cheung ◽  
Clarence C.Y. Kwan
Keyword(s):  
Stock Returns ◽  
Day Of The Week
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