Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/176469 
Authors: 
Year of Publication: 
2017
Citation: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 3 [Issue:] 30 [Publisher:] Springer [Place:] Heidelberg [Year:] 2017 [Pages:] 1-21
Publisher: 
Springer, Heidelberg
Abstract: 
Rule- and template-based pattern-recognition methods are alternative ways to identify various patterns in stock prices alongside more traditional econometric tools. In this study, we generate an exterior template of mood scores from two perplexingly similar samples of mood scores 50 years apart. The mood scores template enables us to deploy a direct test of the behavioral explanation for the day-of-the-week effect. Our evidence shows that the day-of-the-week mood template is a potentially valid explanation of the day-of-the-week effect. Subperiod analysis suggests that the magnitude of the day-of-the-week effect has declined over time. That decline, however, is not uniform across size deciles and is more pronounced in larger capitalization deciles. There is no decline though in the ability of mood to explain the day-of-the-week effect.
Subjects: 
Pattern recognition
Template
Day-of-the-week effect
Monday effect
Behavioral finance
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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