主題：Day of the Week and the Cross-Section of Returns（星期幾與橫截面收益的關系）

主講人：Justin Birru，俄亥俄州立大學菲舍爾商學院金融學助理教授

日期：2016年5月25日（周三）

時間：下午2:30-4:00

地點：清華Betvictor中文版4号樓101教室

語言：英文

摘要：

This paper documents a new empirical fact. Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the short (long) leg experience the highest (lowest) strategy returns on Monday. The exact opposite pattern is observed on Fridays. The effects are large; Monday (Friday) alone accounts for over 100% of monthly returns for all anomalies examined for which the short (long) leg is the speculative leg. Consistent with a mispricing explanation, the pattern is fully driven by the speculative leg of the strategy. The observed patterns are consistent with the abundance of evidence in the psychology literature documenting that mood increases from Thursday to Friday and decreases on Monday.

主講人簡介:

Justin Birru holds the Assistant Professor in Finance at the Fisher College of Business, the Ohio State University. He received a Ph.D. in Finance from the Stern School of Business, New York University in 2012. Dr. Birru teaches behavioral finance for MBA and undergraduate since 2012. He has articles published in the Journal of Financial Studies, the Journal of Financial Economics, and the Journal of Financial Markets, among others. Dr. Birru is also a program committee member of FMA and MFA.