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The day-of-the-week effect in Swedish stock returns

Sandahl, Isabelle LU (2019) NEKP01 20191
Department of Economics
Abstract
One implication of the Efficient Market Hypothesis (EMH) is that it is not possible to consistently and over time create abnormal returns without taking on additional risk. However, the hypothesis has become one of the most debated theories in financial
economics. Numerous studies suggest that seasonal patterns exist in stock returns, so-called calendar effects, which violates the assumption of stock market efficiency. In contribution to this literature, the present study aims to investigate the day-of-the-week effect on the Swedish stock market in small, mid, and large-capitalization stocks. This study reports positive day-of-the-week effects among small and mid-capitalization stocks, both for raw returns and for risk-adjusted returns,... (More)
One implication of the Efficient Market Hypothesis (EMH) is that it is not possible to consistently and over time create abnormal returns without taking on additional risk. However, the hypothesis has become one of the most debated theories in financial
economics. Numerous studies suggest that seasonal patterns exist in stock returns, so-called calendar effects, which violates the assumption of stock market efficiency. In contribution to this literature, the present study aims to investigate the day-of-the-week effect on the Swedish stock market in small, mid, and large-capitalization stocks. This study reports positive day-of-the-week effects among small and mid-capitalization stocks, both for raw returns and for risk-adjusted returns, but finds no such effects for large-capitalization stocks. However, the observed day-of-the-week effects do not prevail consistently over time, which indicates only weak evidence against the EMH. (Less)
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author
Sandahl, Isabelle LU
supervisor
organization
course
NEKP01 20191
year
type
H2 - Master's Degree (Two Years)
subject
keywords
the day-of-the-week effect, the efficient market hypothesis, stock market anomalies, size effect
language
English
id
8980593
date added to LUP
2019-08-08 10:24:27
date last changed
2019-08-08 10:24:27
@misc{8980593,
  abstract     = {{One implication of the Efficient Market Hypothesis (EMH) is that it is not possible to consistently and over time create abnormal returns without taking on additional risk. However, the hypothesis has become one of the most debated theories in financial
economics. Numerous studies suggest that seasonal patterns exist in stock returns, so-called calendar effects, which violates the assumption of stock market efficiency. In contribution to this literature, the present study aims to investigate the day-of-the-week effect on the Swedish stock market in small, mid, and large-capitalization stocks. This study reports positive day-of-the-week effects among small and mid-capitalization stocks, both for raw returns and for risk-adjusted returns, but finds no such effects for large-capitalization stocks. However, the observed day-of-the-week effects do not prevail consistently over time, which indicates only weak evidence against the EMH.}},
  author       = {{Sandahl, Isabelle}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{The day-of-the-week effect in Swedish stock returns}},
  year         = {{2019}},
}