Day-of-the-week returns and mood: an exterior template approach

Zilca, Shlomo

doi:10.1186/s40854-017-0079-4

Financial Innovation

Table 2 Dummy-variable model of the day-of-the-week effect, full-period analysis 1953-2006

From: Day-of-the-week returns and mood: an exterior template approach

	VW	EW	1	2	3	4	5	6	7	8	9	10
Mon. coefficient	-0.1222	-0.1844	-0.1595	-0.1891	-0.1974	-0.1977	-0.2008	-0.1935	-0.1823	-0.1707	-0.1612	-0.1105
Newey-West S.E.	0.0204	0.0178	0.0193	0.0180	0.0185	0.0189	0.0195	0.0199	0.0200	0.0199	0.0199	0.0210
t-statistic	-5.99	-10.36	-8.26	-10.51	-10.67	-10.46	-10.30	-9.72	-9.12	-8.58	-8.10	-5.26
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%
Tue. coefficient	-0.0080	-0.0714	-0.1417	-0.1188	-0.1025	-0.0931	-0.0746	-0.0659	-0.0537	-0.0423	-0.0361	0.0033
Newey-West S.E.	0.0156	0.0136	0.0163	0.0148	0.0148	0.0147	0.0152	0.0154	0.0158	0.0154	0.0151	0.0164
t-statistic	-0.51	-5.25	-8.69	-8.03	-6.93	-6.33	-4.91	-4.28	-3.40	-2.75	-2.39	0.20
p-value	61.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.1%	0.6%	1.7%	84.0%
Wed. coefficient	0.0604	0.0568	0.0247	0.0412	0.0474	0.0512	0.0635	0.0682	0.0695	0.0740	0.0694	0.0578
Newey-West S.E.	0.0153	0.0132	0.0152	0.0134	0.0132	0.0135	0.0142	0.0147	0.0151	0.0150	0.0149	0.0159
t-statistic	3.95	4.30	1.63	3.07	3.59	3.79	4.47	4.64	4.60	4.93	4.66	3.64
p-value	0.0%	0.0%	10.3%	0.2%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%
Thu. coefficient	0.0122	0.0505	0.0622	0.0630	0.0624	0.0595	0.0551	0.0547	0.0496	0.0397	0.0389	0.0038
Newey-West S.E.	0.0155	0.0136	0.0152	0.0140	0.0140	0.0140	0.0148	0.0152	0.0154	0.0154	0.0151	0.0160
t-statistic	0.79	3.71	4.09	4.50	4.46	4.25	3.72	3.60	3.22	2.58	2.58	0.24
p-value	43.1%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.1%	1.0%	1.0%	81.3%
Fri. coefficient	0.0522	0.1420	0.2106	0.1981	0.1838	0.1736	0.1495	0.1293	0.1099	0.0923	0.0823	0.0405
Newey-West S.E.	0.0149	0.0125	0.0151	0.0131	0.0130	0.0131	0.0137	0.0142	0.0145	0.0143	0.0143	0.0155
t-statistic	3.50	11.36	13.95	15.12	14.14	13.25	10.91	9.11	7.58	6.45	5.76	2.61
p-value	0.1%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.0%	0.9%
R²	0.0058	0.0256	0.0308	0.0368	0.0335	0.0305	0.0247	0.0204	0.0162	0.0136	0.0119	0.0043
Adjusted R²	0.0055	0.0253	0.0305	0.0365	0.0332	0.0302	0.0244	0.0201	0.0159	0.0134	0.0116	0.0040
F-statistic	15.0	85.2	107.7	131.9	116.2	102.1	78.0	61.1	48.4	40.1	33.9	10.6
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%

Table 2 describes the results for a dummy-variable regression model of the day-of-the-week effect. The regression model is estimated for value-weighted, equally-weighted, and size decile portfolios (with 1 indicating the smallest capitalization decile). The results show clear tendency for returns to improve throughout the week in the four smallest capitalization deciles, but the pattern is less monotonous in the larger capitalization deciles. F-statistics for the joint null hypothesis H ₀ : α _{p, 1} = α _{p, 2} = α _{p, 3} = α _{p, 4} = α _{p, 5} = 0 are reported at the bottom of Table 2. Corresponding p-values suggest that the null hypothesis is rejected for all portfolios. All the tests are adjusted for heteroscedasticity and serial correlation using Newey-West standard errors

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