Quarterly Journal of Business and Economics articles from June 2003

Quarterly Journal of Business and Economics archives from June 2003

Editorial policy.(Brief Article)
June 22, 2003... There is a neglected body of research involving tests of the validity of theories, methodologies, and data used in previously published studies. There is also a need for more articles that synthesize the literature on important topics,...

A survey of the Monday effect literature.
June 22, 2003... Introduction An extensive and long-standing literature documents calendar patterns in asset returns. In the inaugural edition of the Review of Economic Statistics, Persons (1919) makes reference to a January effect in equity securities, as...

Re-examining return autocorrelation and Monday returns.
June 22, 2003... Introduction The previous articles in this special issue have examined various aspects of the Monday effect. Pettengill and Wingender (2003) provide an introduction to the Monday effect topic. Two papers examine Monday seasonal effects,...

Arbitrage, institutional investors, and the Monday effect.
June 22, 2003... Introduction The survey article for this issue reports a long-term shift in mean Monday returns for large-cap stocks from significantly negative and lower than all other weekdays to significantly positive and higher than other weekdays....

Market breadth and the Monday seasonal in stock returns.(weekend effect on stock market)
June 22, 2003... Introduction Cross (1973), French (1980), and Gibbons and Hess (1981) document the traditional Monday effect in stock returns where the average return on Monday is significantly negative and is significantly lower than the average returns...

The blue-Monday hypothesis: evidence based on Nasdaq stocks, 1971-2000.
June 22, 2003... "Monday morning found Tom Sawyer miserable. Monday morning always found him so." Mark Twain (The Adventures of Tom Sawyer) Introduction As documented in the survey article, the blue-Monday hypothesis provides a...

The Monday effect: a disaggregation analysis.
June 22, 2003... Introduction Many researchers have documented that average stock returns on Mondays are statistically negative, while returns on other days of the week are positive. Some authors have reported that average Mondays used to be negative for...

Day-of-the-week effects among mutual funds.
June 22, 2003... Introduction As discussed in the introductory article by Pettengill (2003), there is a large literature on the Monday effect. A day-of-the-week effect for a particular type of security exists if (1) the returns for that type of security...