The Day of the Week Effect

  • Gianluca Mattarocci
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)


The return distribution of any security does not necessarily have to be equal for all the days of the week and the assumption of the absence of any recurrent trend on some days of the week is only a simplified statistical assumption that is not required, even in a market equilibrium scenario (Gibbons and Hess, 1981).


Financial Market Mutual Fund Institutional Investor Investment Strategy Risky Asset 
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Copyright information

© Gianluca Mattarocci 2014

Authors and Affiliations

  • Gianluca Mattarocci
    • 1
  1. 1.University of Rome Tor VergataItaly

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