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Session Chair: Dong Lou, The Hong Kong University of Science and Technology Discussant: Wenxi Jiang, The Chinese University of Hong Kong
Location:9B320 (3rd basement floor, International Hall)
Presentations
Same-Weekday Momentum
Zhi Da1, Xiao Zhang2
1University of Notre Dame, United States of America; 2University of Maryland, United States of America
A disproportionately large fraction (70%) of stock momentum reflects return continuation on the same weekday (e.g., Mondays to Mondays), or the same-weekday momentum. Even accounting for partial reversals in other weekdays, the same-weekday momentum still contributes to a significant fraction (20% to 60%) of the momentum effect. This pattern is robust to different size filters, weighing schemes, time periods, and sample cuts. The same-weekday momentum is hard to square with traditional momentum theories based on investor mis-reaction. Instead, we provide direct and novel evidence that links it to within-week seasonality and persistence in institutional trading. Overall, our findings highlight institutional trading as an important driver of the stock momentum.
