THE DAY‐OF‐THE‐WEEK ANOMALY: THE TORONTO STOCK EXCHANGE EXPERIENCE
研究加拿大股市1975-1989年的星期效应，发现小盘股周二跌幅大于周一，并探讨了股息和信息流对周一负收益的影响。
This paper studies the day‐of‐the‐week effect employing Canadian stock returns from January 1, 1975 to June 30, 1989. The study finds that, as opposed to large capitalization stocks, low capitalization (thinly‐traded) stocks tend to have a larger negative return on Tuesday rather than on Monday ‐ possibly due to lags in the price adjustment of these stocks following the release of negative information. Two main issues are investigated in an attempt to explain the day‐of‐the‐week effect and its persistence over time: (a) the role of dividends, and (b) the role of information flows. The study finds that firms are much more likely to go ex‐dividend on Monday than on any other day of the week; however, after correcting for the dividend effect, Monday's returns are still significantly negative. With respect to information flows, we find evidence consistent with an information‐flows‐related explanation of the day‐of‐the‐week effect, particularly with the idea that macro announcements cause negative Monday returns.