Another New Look at the Monday Effect
发现负的周一回报集中在每月第18至26天，且可被前一个周五的负回报完全统计解释；更重要的是，观察到“第四周效应”，即第四周所有交易日回报都更低，个人投资者的流动性卖出可能是原因。
We link up the findings of Abraham and Ikenberry (1994) and Wang, Li and Erickson (1997) by showing that negative Monday returns concentrate on days 18 to 26 of a month and they can be completely explained in the statistical sense by the negative returns on the previous Friday. More importantly, we observe a ‘week–four effect’. Not only the returns on Mondays but also returns on other days are lower during the fourth week of a month. We suggest that liquidity selling by individual investors may be the reason.