Abstract
The return distribution of any security does not necessarily have to be equal for all the days of the week and the assumption of the absence of any recurrent trend on some days of the week is only a simplified statistical assumption that is not required, even in a market equilibrium scenario (Gibbons and Hess, 1981).
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Copyright information
© 2014 Gianluca Mattarocci
About this chapter
Cite this chapter
Mattarocci, G. (2014). The Day of the Week Effect. In: Anomalies in the European REITs Market. Palgrave Macmillan Studies in Banking and Financial Institutions. Palgrave Macmillan, London. https://doi.org/10.1057/9781137390929_4
Download citation
DOI: https://doi.org/10.1057/9781137390929_4
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-48281-8
Online ISBN: 978-1-137-39092-9
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)