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Reversal of Monday returns: It is the afternoon that matters

Author

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  • Pigorsch, Uta
  • Schäfer, Sebastian

Abstract

This study dissects the well-known Monday return reversal by separating the Monday into a morning and afternoon period. So far, the literature on the Monday return reversal is limited to the analysis of daily, primarily market returns. Using a large cross-section of U.S. intraday stock return data from 2007 to 2022, we find that only Monday afternoon but not morning returns reverse over the rest of the week. The effect is stronger for larger firms and not explained by common risk factors or earnings announcements. It is mostly prevalent for those stocks for which investor disagreement is high on Monday.

Suggested Citation

  • Pigorsch, Uta & Schäfer, Sebastian, 2024. "Reversal of Monday returns: It is the afternoon that matters," Finance Research Letters, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005555
    DOI: 10.1016/j.frl.2024.105525
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    More about this item

    Keywords

    Asset Pricing; Investors disagreement; Return reversal; Return prediction;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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