Monday effect in Fama-French’s RMW factor

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• 作者：Numan Ü ; lkü ; ^{numan.ulku@unisa.edu.au}
• 关键词：G14 ; G12
• 刊名：Economics Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：150
• 期：Complete
• 页码：44-47
• 全文大小：358 K
• 卷排序：150

文摘

Fama and French’s (2015) RMW (robust-minus-weak) profitability factor is likely to attract debate on whether it captures a behavioral mispricing or a rationally-priced risk. An interesting piece of empirical support for this argument comes from the strong Monday effect in the RMW factor: 94% (135%) of the reward to RMW factor accrues on Mondays (Monday–Tuesdays). That is, the RMW premium is essentially a Monday (or ‘early-in-the-week’) effect, which may reflect a ‘sound mind’ processing of information, over a weekend trading break, to recognize ‘value’. The weekday pattern in RMW remains robust over time (uniquely), and is a pervasive characteristic of ‘value’.