The evolution and cross-section of the day-of-the-week effect

Financial Innovation

Table 2 The day-of-the-week effect, 1953–2006

	Portfolio/Decile
	EW	VW	1	2	3	4	5	6	7	8	9	10
Panel A: Average daily abnormal returns and their p-values
Monday	−0.184%	−0.122%	−0.160%	−0.189%	−0.197%	−0.198%	−0.201%	−0.193%	−0.182%	−0.171%	−0.161%	−0.111%
p-value	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%
Tuesday	−0.071%	−0.008%	−0.142%	−0.119%	−0.102%	−0.093%	−0.075%	−0.066%	−0.054%	−0.042%	−0.036%	0.003%
p-value	0.0%	30.5%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.2%	0.8%	42.0%
Wednesday	0.057%	0.060%	0.025%	0.041%	0.047%	0.051%	0.064%	0.068%	0.069%	0.074%	0.069%	0.058%
p-value	0.0%	0.0%	4.1%	0.1%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%
Thursday	0.050%	0.012%	0.062%	0.063%	0.062%	0.059%	0.055%	0.055%	0.050%	0.040%	0.039%	0.004%
p-value	0.0%	21.1%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.4%	0.4%	40.5%
Friday	0.142%	0.052%	0.211%	0.198%	0.184%	0.174%	0.150%	0.129%	0.110%	0.092%	0.082%	0.040%
p-value	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.5%
Panel B: Joint tests of equality of averages across days of the week
Standard ANOVA
F-statistic	89.3	19.9	107.9	129.8	117.8	106.9	86.0	70.6	55.9	47.0	40.7	14.7
p-value	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%
ANOVA adjusted for heteroscedasticity (Welch)
F-statistic	81.3	16.4	108.4	127.5	112.1	99.7	78.1	62.9	49.2	40.5	34.5	12.1
p-value	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%

Panel A of Table 2 shows average abnormal returns and corresponding p-values for the EW, VW, and 10 size decile portfolios across days of the week in the 1953–2006 period. Average abnormal return is defined as the average return for the relevant day and portfolio/decile minus the average return of the portfolio/decile across all days. Panel A of Table 2 also reports p-values for the null hypothesis, where μ_ij is the average abnormal return of portfolio/decile i on day j. The results in Panel A show a pattern of improving returns throughout the week in size deciles 1 through 4, but the pattern is less monotonic in the larger capitalization deciles. Panel B provides results for the more general null hypothesis of equal averages across all days of the week. The results in Panel B reject the null hypotheses, using both standard ANOVA and ANOVA adjusted for heteroscedasticity