Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
It is well documented that expected stock returns vary with the day of the week (the Monday or weekend effect). In this article, the authors show that the well-known Monday effect occurs primarily in the last two weeks (fourth and fifth weeks) of the month. In addition, the mean Monday return of the first three weeks of the month is not significantly different from zero. This result holds for most of the subperiods during the 1962-93 sampling period and for various stock return indexes. The monthly effect reported by Robert A. Ariel (1987) and Josef Lakonishok and Seymour Smidt (1988) cannot fully explain this phenomenon. Copyright 1997 by American Finance Association.