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).
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© 2014 Gianluca Mattarocci
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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
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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
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