Frontiers in Psychology | |
Investor Psychology, Mood Variations, and Sustainable Cross-Sectional Returns: A Chinese Case Study on Investing in Illiquid Stocks on a Specific Day of the Week | |
article | |
Qianwei Ying1  Tahir Yousaf1  Qurat ul Ain2  Yasmeen Akhtar3  | |
[1] Business School, Sichuan University;School of Public Finance and Taxation, Southwestern University of Finance and Economics;Noon Business School, University of Sargodha | |
关键词: speculative stocks; mood variations; day of the week; sustainable cross-sectional returns; anomalies; | |
DOI : 10.3389/fpsyg.2020.00173 | |
学科分类:社会科学、人文和艺术(综合) | |
来源: Frontiers | |
【 摘 要 】
This paper uncovers a new finding of sustainable cross-sectional variations in stock returns explained by mood fluctuations across the days of the week. Long/short leg of illiquid anomaly returns are extensively related to the days of the week, and the magnitude of excess returns is also striking [Long leg refers to portfolio deciles that earn higher excess returns. Historical evidence suggests that more illiquid stock earn higher excess returns ( Amihud, 2002 ; Corwin and Schultz, 2012 )]. The speculative leg of illiquid anomalies is the long leg ( Birru, 2018 ) [The speculative leg falls into the long leg of anomaly because more illiquid stocks are sensitive to investor sentiment ( Birru, 2018 )]. Therefore, the long (speculative) leg experiences more sustainable high returns on Friday than the short (non-speculative) leg. At the same time, relatively higher long (speculative) leg returns were witnessed on Friday than Monday with a greater magnitude difference. These cross-sectional variations in illiquid stocks on specific days are consistent with the explanation of the limit to arbitrage. The observed variations in cross-sectional returns are sustained and consistent with plenty of evidence from psychology research regarding the low mood on Monday and high mood on Friday.
【 授权许可】
CC BY
【 预 览 】
Files | Size | Format | View |
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RO202108170002588ZK.pdf | 239KB | download |