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

Portfolio/Decile | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|

EW | VW | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | |

Panel A: Average daily abnormal returns and their p-values
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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% |