Day-of-the-week effect in anomaly returns: International evidence
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DOI: 10.1016/j.econlet.2019.05.042
Abstract: This paper examines the day-of-the-week effect in anomalies (Birru, 2018) in 24 international equity markets. In particular, the returns to the quality-minus-junk (QMJ) factor on different weekdays are studied. The QMJ factor resembles the difference… read more here.
Keywords: day week; speculative stocks; week effect;