From T‐Bills to Common Stocks: Investigating the Generality of Intra‐Week Return Seasonality
检验了股票指数和不同期限国债的周内收益季节性是否仍然显著且模式一致，发现季节性依然存在但模式不统一，且周一收益随期限增加而更负，对研究市场效率的学者有参考价值。
ABSTRACT The authors investigate the extent to which intra‐week seasonality still exists and whether its pattern is uniform across three stock indices and Treasury bonds with seven different maturities. They find that intra‐week seasonality continues to be significant and that its pattern is not uniform, either between the stock indices and the Treasury bonds or even among the bonds alone. A pattern shared by stocks and bonds is that Monday returns become increasingly negative with maturity. These findings suggest that neither institutional nor general‐equilibriumex planations by themselves can explain the pattern of intra‐week seasonality in securities markets.