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The Individual Investor and the Weekend Effect

Published online by Cambridge University Press:  06 April 2009

Abraham Abraham  and
David L. Ikenberry
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Abstract

It is well known that stock returns, on average, are negative on Mondays. Yet, it is less well known that this finding is substantially the consequence of returns in prior trading sessions. When Friday's return is negative, Monday's return is negative nearly 80 percent of the time with a mean return of −0.61 percent. When Friday's return is positive, the subsequent Monday's mean return is positive, 0.11 percent. This relationship is stronger than for any other pair of trading days and is most acute in small- and medium-size companies. The trading behavior of individual investors appears to be at least one factor contributing to this pattern. Individual investors are more active sellers of stock on Mondays, particularly following bad news in the market.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 29 , Issue 2 , June 1994 , pp. 263 - 277
Copyright
Copyright © School of Business Administration, University of Washington 1994

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