Mehdian, Seyed; Perry, Mark J. - In: Journal of Business Finance & Accounting 28 (2001-09) 7&8, pp. 1043-1065
This article re-examines the Monday effect in the US stock market from 1964-1999 using daily returns from three large-cap indexes and two small-cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings....