University of North Carolina at Chapel Hill and Claremont Graduate School, respectively. We would like to thank Joel Houston and Phillip Daves for extremely diligent and helpful research assistance and Jeremy Siegel for lengthy discussions and encouragement. Flannery acknowledges financial support from the Business Foundation of North Carolina, Inc. This research was substantially completed while Protopapadakis was a Research Officer at the Federal Reserve Bank of Philadelphia.
From T-Bills to Common Stocks: Investigating the Generality of Intra-Week Return Seasonality
Article first published online: 30 APR 2012
1988 The American Finance Association
The Journal of Finance
Volume 43, Issue 2, pages 431–450, June 1988
How to Cite
FLANNERY, M. J. and PROTOPAPADAKIS, A. A. (1988), From T-Bills to Common Stocks: Investigating the Generality of Intra-Week Return Seasonality. The Journal of Finance, 43: 431–450. doi: 10.1111/j.1540-6261.1988.tb03948.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
The authors investigate the extent to which intra-week seasonality still exists and whether its pattern is uniform across three stock indices and Treasury bonds with seven different maturities. They find that intra-week seasonality continues to be significant and that its pattern is not uniform, either between the stock indices and the Treasury bonds or even among the bonds alone. A pattern shared by stocks and bonds is that Monday returns become increasingly negative with maturity. These findings suggest that neither institutional nor general-equilibrium explanations by themselves can explain the pattern of intra-week seasonality in securities markets.