Finance Seminar（2016-18）

Topic: Day of the Week and the Cross-Section of Returns

Speaker: Justin Birru, The Ohio State University

Time: Wednesday, 12 October, 10:00-11:30

Place: Room 217, Guanghua Building 2

Abstract:

This paper documents a new empirical fact. Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the short (long) leg experience the highest (lowest) strategy returns on Monday. The exact opposite pattern is observed on Fridays. The effects are large; Monday (Friday) alone accounts for over 100% of monthly returns for all anomalies examined for which the short (long) leg is the speculative leg. Consistent with a mispricing explanation, the pattern is fully driven by the speculative leg of the strategy. The observed patterns are consistent with the abundance of evidence in the psychology literature documenting that mood increases from Thursday to Friday and decreases on Monday.

Introduction:

Justin Birru joined Fisher in 2012 as an Assistant Professor after earning a PhD in finance from NYU Stern School of Business. His research interests include behavioral finance and empirical asset pricing. Justin teaches Behavioral Finance in both the undergraduate and MBA programs at Fisher.

//fisher.osu.edu/~birru.2/

Your participation is warmly welcomed!