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Table 5 Day-of-the-week effect and mood, subperiod analysis

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

  VW EW 1 2 3 4 5 6 7 8 9 10
Panel A: 1953-1970
 λ0 -0.5841 -0.7243 -0.8092 -0.8558 -0.8237 -0.8748 -0.7486 -0.6979 -0.6549 -0.6031 -0.5723 -0.5646
 Newey-West S.E. 0.0670 0.0684 0.0842 0.0760 0.0767 0.0749 0.0772 0.0740 0.0716 0.0661 0.0648 0.0689
 t-statistic -8.71 -10.59 -9.61 -11.26 -10.74 -11.69 -9.70 -9.43 -9.14 -9.12 -8.83 -8.20
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%
 λ1 0.0942 0.1168 0.1305 0.1381 0.1329 0.1411 0.1208 0.1126 0.1056 0.0973 0.0923 0.0911
 Newey-West S.E. 0.0101 0.0103 0.0130 0.0115 0.0117 0.0114 0.0117 0.0112 0.0108 0.0100 0.0098 0.0104
 t-statistic 9.30 11.33 10.08 11.97 11.37 12.43 10.29 10.07 9.74 9.77 9.44 8.74
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%
 R2 0.0152 0.0221 0.0195 0.0251 0.0229 0.0270 0.0188 0.0177 0.0171 0.0161 0.0156 0.0134
 Adjusted R2 0.0150 0.0218 0.0192 0.0249 0.0227 0.0267 0.0186 0.0175 0.0169 0.0159 0.0153 0.0132
 Proportion of effect explained by mood 53.5% 64.1% 71.1% 72.7% 66.7% 74.1% 59.0% 56.6% 56.7% 53.4% 54.5% 51.9%
Panel B: 1971-1988
 λ0 -0.4275 -0.8908 -1.0030 -1.0830 -1.0637 -1.0445 -1.0528 -0.9969 -0.8936 -0.7974 -0.7125 -0.3291
 Newey-West S.E. 0.0946 0.0749 0.0678 0.0716 0.0764 0.0814 0.0813 0.0851 0.0871 0.0873 0.0895 0.0987
 t-statistic -4.52 -11.89 -14.79 -15.13 -13.92 -12.84 -12.95 -11.71 -10.26 -9.13 -7.96 -3.33
p-value 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1%
 λ1 0.0689 0.1436 0.1617 0.1746 0.1715 0.1684 0.1697 0.1607 0.1441 0.1286 0.1149 0.0531
 Newey-West S.E. 0.0145 0.0109 0.0096 0.0102 0.0110 0.0118 0.0119 0.0125 0.0128 0.0129 0.0134 0.0153
 t-statistic 4.75 13.13 16.89 17.04 15.53 14.26 14.28 12.83 11.23 9.94 8.59 3.48
p-value 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1%
 R2 0.0042 0.0293 0.0396 0.0427 0.0383 0.0346 0.0332 0.0287 0.0223 0.0180 0.0138 0.0022
 Adjusted R2 0.0040 0.0291 0.0394 0.0425 0.0381 0.0344 0.0330 0.0285 0.0221 0.0178 0.0136 0.0020
 Proportion of effect explained by mood 52.9% 85.8% 91.5% 89.7% 90.1% 85.4% 85.6% 83.2% 80.1% 74.9% 69.4% 39.7%
Panel C: 1989-2006
 λ0 0.0329 -0.5721 -0.9736 -0.8388 -0.7833 -0.6458 -0.5338 -0.4260 -0.3319 -0.2370 -0.2208 0.1000
 Newey-West S.E. 0.0981 0.0728 0.0792 0.0649 0.0661 0.0709 0.0793 0.0899 0.0962 0.0978 0.0996 0.1018
 t-statistic 0.34 -7.86 -12.30 -12.91 -11.86 -9.11 -6.74 -4.74 -3.45 -2.42 -2.22 0.98
p-value 26.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% 1.5% 2.7% 32.6%
 λ1 -0.0053 0.0922 0.1569 0.1352 0.1262 0.1041 0.0860 0.0686 0.0535 0.0382 0.0356 -0.0161
 Newey-West S.E. 0.0158 0.0112 0.0120 0.0097 0.0099 0.0108 0.0122 0.0139 0.0150 0.0153 0.0156 0.0164
 t-statistic -0.34 8.23 13.09 13.96 12.78 9.68 7.06 4.93 3.57 2.49 2.28 -0.98
p-value 26.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.3% 2.3% 32.7%
 R2 0.0000 0.0117 0.0255 0.0297 0.0257 0.0162 0.0091 0.0047 0.0024 0.0012 0.0010 0.0002
 Adjusted R2 -0.0002 0.0115 0.0253 0.0294 0.0255 0.0160 0.0089 0.0045 0.0022 0.0010 0.0008 0.0000
 Proportion of effect explained by mood NA 85.5% 89.9% 92.6% 92.1% 90.0% 84.9% 73.9% 59.4% 42.9% 46.5% NA
  1. Table 5 provides analysis of the day-of-the-week effect with the simple-average mood template (reported in column 4 of Table 1) as the explanatory variable. The results are reported in three Panels corresponding to three subperiods. The upper part of each panel presents the regression statistics for each portfolio, the bottom part reports the ratios of the R2 of the mood variable regression to the R2 of the respective dummy variable regression. The results show that the regression coefficient of the mood variable is positive and statistically significant in the large majority of the cases. The ratios of the R2 of the mood variable regression to the R2 of the dummy variable regression suggest that mood remains a valid explanatory variable of the day-of-the-week effect across the three subperiods