US DAY-OF-THE-WEEK EFFECTS AND ASYMMETRIC RESPONSES TO MACROECONOMIC NEWS

This study considers the joint influence of contemporaneous and lagged responses to macroeconomic news in explaining US day-of-the-week effe cts. Macroeconomic news is measured by movements in large firms' stock prices. The average response of smaller stocks to these movements is abnormally high on Mondays, especially in down markets. After correcti ons for these asymmetries, the US day-of-the-week effect weakens subst antially for most size-ranked portfolios in most of the six approximat ely equal subperiods between 1962 and 1992. These findings suggest tha t seasonals in processing macroeconomic news account for much of the d ay-of-the-week effect in equity returns. (C) 1998 Elsevier Science B.V . All rights reserved.