主题：Day of the Week and the Cross-Section of Returns（星期几与横截面收益的关系）
主讲人：Justin Birru，俄亥俄州立大学菲舍尔商德州扑克大小
金融学助理教授
日期：2016年5月25日（周三）
时间：下午2:30-4:00
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：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.
主讲人简介:
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.
