The Individual Investor and the Weekend Effect
研究发现周一股票回报率低主要源于前一个周五的回报情况：周五下跌时周一近八成概率继续下跌，平均跌幅0.61%；周五上涨时周一平均上涨0.11%。个人投资者在周一更活跃卖出，尤其是市场坏消息后，是造成这一模式的因素之一。
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.