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1、JEconFinan(2011)35:332–347DOI10.1007/s12197-009-9100-8MondayreturnsandassetpricingJorgeBrusa&WayneY.Lee&PuLiuPublishedonline:2September2009#SpringerScience+BusinessMedia,LLC2009AbstractTheseasonalpatternsobservedonMondaystockreturnsarestillunexplainedbydifferentassetpricingmodels.Weattemptto
2、fillthisgapinthefinanceliteraturebyusingtheFama-French(JournalofFinancialEconomics33:3–56,1993)riskfactorstoexplaintheMondayseasonal.TheresultsinthestudyshowthatMondayreturnsareexplainedbyriskfactorssuchasthemarketreturn,thesizeofthefirms,andthebook-to-marketratiosoffirms.KeywordsAssetPricin
3、g.ExcessReturns.Monday.Anomaly.WeekendJELclassificationsG.G1.G121IntroductionCross(1973)andFrench(1980)firstreportthataverageMondayreturnsonstockstendtobenegativeandsignificantlylowerthanaveragereturnsonotherdaysoftheweek.Sincethen,thecalendaranomalyknownastheMondayorweekendeffecthasJ.Brusa(
4、*)DepartmentofAccounting,EconomicsandFinance,CollegeofBusinessAdministration,TexasA&MInternationalUniversity,5201UniversityBoulevard,Laredo,TX78041-1900,USAe-mail:jbrusa@tamiu.eduW.Y.LeeSamM.WaltonCollegeofBusiness,UniversityofArkansas,Fayetteville,AR72701,USAe-mail:wlee@walton.uark.eduP.Liu
5、DepartmentofFinance,SamM.WaltonCollegeofBusiness,UniversityofArkansas,Fayetteville,AR72701,USAe-mail:pliu@walton.uark.eduJEconFinan(2011)35:332–3473331receivedconsiderableattention.Anextensiveliteraturethatspansmorethantwodecadesnotwithstanding,unresolvedquestionsremain.First,theMondayeffect
6、istimeinconsistent–appearsstronglyinsometimeperiods,nonexistentinothertimeperiods,andweakinmosttimeperiods(Connolly1989,p.134).Second,theeffectisnotreliablyevidentacrossdifferentmonthsoftheyear,weeksofthemonth,orfirmsize.Keim(1987)documentsthatMondayreturnstendtobepositiveinJanuarybutnegativ
7、einothermonthsoftheyear;Wangetal.(1997),thattheMondayeffectissignificantonlyinthefourthandfifthweeksofthemonth;andKamara(1997),thatnegativeMondayreturnstendtobeassociatedwithsmallfirms.ForstocksintheS&P500,theMondayeffectdeclinedtoalargeextentovert
