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Business and Economics Journal

ISSN: 2151-6219

Open Access

Iyad Snunu

Department of Economics and Management, Tel Hai Academic College, Qiryat Shemona, Israel

Publications
  • Research Article   
    Evolution in the Seasonality in Equity Return: Revisiting the Day-Of-The-Week Effect in the US
    Author(s): Iyad Snunu*

    One of the widely discussed issues in the financial literature is the daily seasonality in asset prices. In this study, we shed fresh lights and explore the evolution of weekday seasonality in the US capital market. For this sake, we utilize daily data for the period January 1990 to August 2022. We compare between cross-section portfolios including, for example, size-based profitability-based as well as risk-based portfolios. We find that Monday effect does not exist in both small and large cap firms. Yet, Fridays are associated with positive returns mainly for small size firms. Different subsamples and moving-sample window tests reveal mixed findings. Overall, our results indicate high degree of financial efficiency in information. Scholars and market participants may find our results useful... Read More»
    DOI: 10.37421/2151-6219.2022.13.407

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