Since the 1920s, traders have discussed the strange phenomenon: Stock returns tend to be lower on Mondays. But none of the explanations, such as traders being depressed about returning to work after the weekend, seems adequate for causing such a long-ranging effect. While earlier studies used narrow time frames, Smith and his colleague Russell Robins of Tulane University crunched big data — 1,000 stock returns going back to 1926 and up to 2014 — from the Center for Research in Security Prices.
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“What we showed basically is that it’s really just a freaky statistical thing and that it really has disappeared many, many years ago,” he said. “If you’re going to continue to research this and try and find explanations and all that stuff you have to consider the possibility that it’s just due to the time period you’re looking at. So, if you look at a different time period maybe it’s not negative or if you look at another time period maybe it’s extremely negative. But it’s only because of the time period you’re looking at, not because it’s a real thing.”