Zilca, Shlomo - In: Financial Innovation 3 (2017) 29, pp. 1-12
We study the day-of-the-week effect across size deciles and in three 18-year subperiods. The results show a decline in … the magnitude of the day-of-the-week effect, but the effect did not vanish. We find that the decline in the magnitude of … the effect is larger in the larger market capitalization deciles. We also find substantial evidence that the day-of-the-week …